Clarksons Platou Futures Limited

Dry Freight Options Report 25 April 2017

Capesize Panamax
Implied Day Forward Straddle Daily breakeven Implied Day Forward Straddle Daily breakeven
volatilities Change +/- price value ($) (Gamma rent) volatilities Change +/- price value ($) (Gamma rent)
APRIL 170.00% 0 15100 3145 1604 APRIL 100.00% 0 12000 84 750
MAY 147.00% 0 14250 3790 1309 MAY 95.00% 0 10400 1699 618
JUNE 133.00% 0 15550 5924 1293 JUNE 90.00% 0 10000 2660 563
Q2 17 150.00% 0 14967 3531 1403 Q2 17 95.00% 0 10800 1515 641
Q3 17 102.00% 0 16200 7138 1033 Q3 17 68.00% 0 9800 2750 417
Q4 17 85.00% 0 17600 8677 935 Q4 17 63.00% 0 10500 3915 413
CAL 18 70.00% 0 15000 8820 656 CAL 18 48.00% 0 9300 3646 279
CAL 19 51.00% 0 14900 8581 475 CAL 19 40.00% 0 9400 4245 235
Supramax Handy
Implied Day Forward Straddle Daily breakeven Implied Day Forward Straddle Daily breakeven
volatilities Change +/- price value ($) (Gamma rent) volatilities Change +/- price value ($) (Gamma rent)
APRIL 41.00% 0 9400 0 241 APRIL 21.00% 0 8100 0 106
MAY 39.00% 0 9200 602 224 MAY 21.00% 0 7700 246 101
JUNE 37.00% 0 9100 864 210 JUNE 21.00% 0 7500 467 98
Q2 17 39.00% 0 9233 563 225 Q2 17 21.00% 0 7767 138 102
Q3 17 40.00% 0 9000 1581 225 Q3 17 20.00% 0 7300 471 91
Q4 17 38.00% 0 9200 2038 219 Q4 17 19.00% 0 7700 827 91
CAL 18 34.00% 0 9000 2619 191 CAL 18 19.00% 0 7300 1000 87
CAL 19 31.00% 0 9500 3401 184 CAL 19 18.00% 0 7500 1565 84
Comment
CPF Implied Volatility Curve CPF Implied Volatilities Capesize
Another big push on the
180
swaps as we approach the CPF Implied Volatilities Panamax

highs of the year on Capes. 160 CPF Implied Volatilities

Supramax
140 CPF Implied Volatilities Handy

Look to buy CAL 18 CAPE 120

Volatility

20/13 collar for 100 bucks 100

(buy calls / sell puts).
80
60
40
20
0
APRIL MAY JUNE Q3 17 Q4 17 CAL 18 CAL 19
Option expiry

Contacts Options
Clarkson Platou Futures Limited
Commodity Quay
St Katherine Docks Sander Bots
London Tel: +44 (0) 207 334 4782
E1W 1BF sander.bots@clarksons.com

Tel +44 (0) 20 7334 3151 Robert Byrne

Fax +44 (0) 87 0460 1511 Tel: +44 (0) 207 334 5496
cpf@clarksons.com robert.byrne@clarksons.com
www.clarksons.com

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Clarksons Platou Futures Limited
Dry Freight Options Report 25 April 2017

CSL Premium Matrix

Capesize Q3 17 Premium ($) Q4 17 Premium ($) CAL 18 Premium ($)

7,500 251 7,500 304 12,000 2,650

Put 8,500 418 8,500 484 13,000 3,198
14,000 2,358 14,000 2,396 14,000 3,786
ATM 16,250 3,569 17,750 4,338 15,000 4,410
17,250 3,204 18,750 3,987 16,000 4,079
Call 18,250 2,877 19,750 3,667 20,000 3,215
19,250 2,585 20,750 3,374 21,000 3,005

Panamax Q3 17 Premium ($) Q4 17 Premium ($) CAL 18 Premium ($)

8,500 810 9,000 1,166 8,000 1,197

Put 9,000 1,035 9,500 1,408 8,500 1,450
9,500 1,291 10,000 1,673 9,000 1,725
ATM 10,000 1,375 10,500 1,958 9,500 1,823
10,500 1,187 11,000 1,765 10,000 1,644
Call 11,000 1,022 11,500 1,591 10,500 1,483
11,500 878 12,000 1,433 11,000 1,338

Supramax Q3 17 Premium ($) Q4 17 Premium ($) CAL 18 Premium ($)

7,500 211 7,750 404 7,500 602

Put 8,000 352 8,250 585 8,000 805
8,500 545 8,750 807 8,500 1,042
ATM 9,000 791 9,250 1,019 9,000 1,310
9,500 588 9,750 820 9,500 1,113
Call 10,000 430 10,000 734 10,000 944
15,000 12 15,000 61 15,000 173

Handy Q3 17 Premium ($) Q4 17 Premium ($) CAL 18 Premium ($)

6,000 12 6,250 32 6,000 124

Put 6,500 59 6,750 99 6,500 248
7,000 188 7,250 237 7,000 438
ATM 7,500 236 7,750 413 7,500 500
8,000 98 8,250 230 8,000 331
Call 8,500 35 8,750 119 8,500 213
9,000 12 9,250 57 9,000 134

**Premiums are indicative**

Contacts Options
Clarkson Platou Futures Limited
Commodity Quay Sander Bots
St Katherine Docks Tel: +44 (0) 207 334 4782
London sander.bots@clarksons.com
E1W 1BF
Robert Byrne
Tel: +44 (0) 207 334 5496
Tel +44 (0) 20 7334 3151 robert.byrne@clarksons.com
Fax +44 (0) 87 0460 1511
cpf@clarksons.com
www.clarksons.com

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Clarksons Platou Futures Limited
Derivatives Report 25 April 2017

Disclaimer

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Contacts Options
Clarkson Platou Futures Limited
Commodity Quay Sander Bots
St Katherine Docks Tel: +44 (0) 207 334 4782
London sander.bots@clarksons.com
E1W 1BF
Robert Byrne
Tel: +44 (0) 207 334 5496
Tel +44 (0) 20 7334 3151 robert.byrne@clarksons.com
Fax +44 (0) 87 0460 1511
cpf@clarksons.com
www.clarksons.com

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