OREANDA-NEWS. SGX Iron Ore Weekly Options Report (19-23 Sep 2016).

The put-call open interest ratio (for Oct-2016 to Dec-2016 expiry) increased 0.04 points w-o-w to 1.22. The price for the most active futures month (i.e. Oct-2016) of the underlying SGX Iron Ore (62% Fe Fines) contract rose 5% to US$55.85/MT.

  • SGX iron ore options volume for the week totaled 31,490 lots – down 19.1% w-o-w (3.1 mil mt – down 19.1% w-o-w). While activity in puts continues to dominate at 70% of overall volumes, bearish sentiments are marginally weaker with some calls and puts traded at higher strikes.
  • Meanwhile, open interest closed the week at 831,371 lots –  up 3.0% w-o-w (96.8 mil mt – up 2.6% w-o-w). The growth in open interest is primarily due to puts at the $45 strike price in 4Q2016 and 1Q2017.
  • The volatility smile is flattening with implied volatility at lower strike levels falling more w-o-w than that at higher strike levels.