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The August report broke the market limit down (more in the front mnth which
had no limit since it was in delivery) since USDA estimates were not lowered
as much as expected. The possibility for a big change in the crop estimate
exists this time because much of the adverse weather impact occurred after
the reporting period for the August report. The uncertainty attached to this
kind of govt. report usually leads to firming option prices. One big risk
here is that a very neutral report will result in a smash of implied
volatilities. Should make an interesting day on the 10th. Remember, the
report comes out before the open.
Bruce Lawrence
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