OREANDA-NEWS. SGX Iron Ore Weekly Options Report.

Key Highlights

  • The put-call open interest ratio (for Nov-2016 to Jan-2017 expiry) increased 0.02 points w-o-w to 1.28. The price for the most active futures month (i.e. Nov-2016) of the underlying SGX Iron Ore (62% Fe Fines) contract increased 2% to US$57.08/MT.
  • SGX iron ore options volume for the week totaled 39,790 lots – up 43.4% w-o-w  (4.5 mil mt – up 20.9% w-o-w). While trading activity was primarily in puts (68% of volumes), the most actively traded strike was due to calls (with $61 strike accounting for 65% of call volumes). In contrast, trading of puts was more evenly spread across the $35 to $54 strikes.
  • Meanwhile, open interest closed the week at 700,463 lots – up 3.4% w-o-w (82.0 mil mt – up 3.5% w-o-w). Growth in open interest was roughly proportional to traded volumes with calls and puts each accounting for 35% and 65% of the change.
  • Although implied volatility at lower strike levels remained flat, there was a slight uptick for higher strike levels.