Death comes to us all. Life's but a walking shadow | I don't pretend to understand this whole business but Khall & JNL provided a possible clue a few days ago when they pointed out that the value of an option is related to the underlying futures through its delta.
They pointed me to this:http://www.theoptionsguide.com/delta.aspx. Where I found this: "The option's delta is the rate of change of the price of the option with respect to its underlying security's price. The delta of an option ranges in value from 0 to 1 for calls (0 to -1 for puts) and reflects the increase or decrease in the price of the option in response to a 1 point movement of the underlying asset price.
Far out-of-the-money options have delta values close to 0 while deep in-the-money options have deltas that are close to 1."
If a (+1) delta is "far in the money" call option then a (-1) delta is "far in the money" put option which implies that where ever you see options expressed as negative futures that trader category may have be vulnerable. If you look at chart 14 soybean options only short and 14 options only (long) you see that the other reportable and to a lesser extent managed money have "negative" futures. For instants, for the chart 14 soy options only short you can see that the sum of the decline of managed money & other reportable options roughly equals the increase in producer short options. But it may not just be "negative" futures that are important. You can see in the chart below, 14 soy options only where managed money options declines in concert with the rise of both producer and non reportable (small speculator) options.
This fits my theory that managed money and other reportables make their money predominantly by writing options and collecting premiums, not by speculating.
The weak link in my idea is that I don't understand options well enough to know how writing an option gets reflected in the data vs. buying an option. Perhaps someone with more experience would care to comment?
Edited by 1234 11/8/2014 07:28
 (14 soy opts only-page-001.jpg)
 (14 soy options only shorts-page-001.jpg)
Attachments
----------------
 14 soy opts only-page-001.jpg (61KB - 211 downloads)
14 soy options only shorts-page-001.jpg (76KB - 193 downloads)
|
COT soybean update
