April Options Review

Reviews by Asset Class

Options Complex Overview

Asset Class ADV % YoY % Globex Open Interest
Total Options 4,005,997 52% 60% 65,713,622
Interest Rates 2,614,270 97% 47% 48,420,090
Equity Index 692,206 27% 93% 4,569,632
Energy 346,318 17% 64% 7,700514
Agriculture 231,812 -35% 73% 3,138,637
FX 72,768 5% 96% 758,482
Metals 48,623 21% 81% 1,126,267

Trends & Highlights

  • With over 4M contracts/day (+52% YoY), options accounted for 25% of CME Group’s total volume in April
  • Record electronic participation in Interest Rate options and Natural Gas options
  • Weekly expirations establishing a larger footprint across all asset classes 

Interest Rate Options

  Symbol ADV % YoY % Globex Open Interest OI % Puts
Eurodollar options   1,791,690 98% 32% 43,580,220 66%
Eurodollars (Quarterly/Serial) GE 861,132 57% 31% 25,629,889 66%
1-Year Mid-Curve GE0 529,284 156% 32% 8,378,336 68%
2-Year Mid-Curve GE2 306,660 223% 35% 6,935,718 66%
3-Year Mid-Curve GE3 90,085 91% 33% 2,329,612 59%
4-Year Mid-Curve GE4 3,974 55% 63% 299,729 44%
Treasury options   822,580 93% 81% 4,836,994 40%
10-Year Note OZN 464,058 95% 77% 2,886,815 53%
5-Year Note OZF 99,516 59% 81% 1,145,085 73%
Weekly 10-Year ZN1-5 130,480 177% 86% 135,795 51%
U.S. Treasury Bond OZB 79,652 61% 89% 489,163 58%
Weekly 5-Year ZF1-5 27,269 282% 90% 51,249 63%
Weekly 30-Year ZB1-5 16,998 45% 92% 39,274 43%
2-Year Note OZT 4,224 -47% 57% 85,031 38%

Trends & Highlights

  • Record 2.6M Interest Rate options traded per day, +97% YoY
  • Record 47% of IR options traded electronically (Electronic ADV of 1.23M, +128% YoY)
  • Eurodollar options hit record electronic ADV for the third consecutive month with 574K contracts (32% of volume)
  • Record 81% of Treasury options traded electronically (Electronic ADV of 664,599, +120% YoY)
  • Weekly Treasury options averaged a record 175K contracts daily, up 161% YoY
  • Weekly Wednesday options launch June 5 - Learn more

Equity Index Options

  Symbol ADV % YoY Open Interest OI % Puts
E-mini S&P 500 options   637,750 31% 4,081,166 73%
Quarterlies ES 77,375 -71% 1,370,579 71%
Weekly EW1 - EW4 362,848 185% 1,931,599 73%
Wednesday Weekly E1C - E5C 51,886 n/a 54,312 88%
Monday Weekly E1A - E5A 29,791 n/a  81,883 69%
End-of-Month EW 115,851 25% 642,793 78%
S&P 500 options   47,680 6% 441,149 60%
Quarterlies SP 4,363 -83% 112,481 44%
Weekly EV1 - EV4 29,583 191% 269,137 66%
Wednesday Weekly S1C - S5C 2,273 n/a 16,968 97%
Monday Weekly S1A - S5A 2,705 n/a 5,317 69%
End-of-Month EV 8,755 -4% 37,246 45%
E-mini NASDAQ-100 options   6,634 -43% 40,961 63%
Quarterlies NQ 691 -91% 21,250 57%
Weekly QN1 - QN4 4,760 100% 19,316 70%
End-of-Month QNE 1,183 -30% 395 64%
E-mini Dow ($5) options YM 143 -68% 6,350 62%

Trends & Highlights

  • S&P 500 options traded 692K contracts/day, representing a 27% increase YoY
  • Over 617K Monday Weekly S&P 500 options (E-mini and Standard) have traded since launched on April 3 - Learn more
  • On the trading days immediately before and after the French Election (round 1), activity surged in Monday Weekly options with 190K contracts on April 21 and 62K contracts on April 24

Energy Options

  Symbol Settlement ADV % YoY % Globex Open Interest OI % Puts
Crude Oil options     227,077 15% 75% 4,721,660 45%
WTI Crude Oil LO Physical 209,426 18% 80% 3,082,304 39%
WTI 1 Month CSO WA Physical 6,514 -28% 9% 731,165 57%
WTI 1 Month CSO 7A Financial 1,432 -79% 0% 296,438 80%
WTI Average Price AO Financial 2,117 106% 0% 299,347 56%
WTI Weeklies LO1-5 Physical 2,644 306% 100% 4,897 37%
WTI-Brent Spread BV Financial 1,646 540% 1% 146,400 29%
Brent Futures-Style BZO Financial 843 240% 9% 36,337 40%
Natural Gas options     115,052 26% 45% 2,751,823 36%
Natural Gas European LN Financial 98,622 34% 44% 2,544,181 36%
Natural Gas American ON Physical 8,294 -41% 99% 82,235 46%
Natural Gas 1 Month CSO G4X Financial 5,774 4519% 0% 82,050 34%
Natural Gas Daily KD Financial 1,540 -16% 3% 0 N/A
Refined Product options     3,575 -31% 13% 119,018 28%
NY Harbor ULSD OH Physical 1,399 -44% 18% 53,431 31%
RBOB Gasoline OB Physical 1,888 -18% 12% 28,225 37%

Trends & Highlights

  • Natural Gas options (LN) continue to transition to the screen with a record 44% of LN options traded electronically (Screen ADV of 43K, +150% YoY)
  • Natural Gas 1 month CSO ADV jumped to 5.7K, +4.5X YoY
  • WTI Crude Oil options (LO) trading increased 18% YoY, with 80% executed on screen
  • Weekly WTI options (LO1-5) surged 350% to a record 2.64K contracts/day

Agricultural Options

  Symbol ADV % YoY % Globex Open Interest OI % Puts
Corn OZC 91,159 -18% 72% 1,241,944 43%
Soybean OZS 52,750 -61% 76% 558,509 45%
SRW Wheat OZW 32,262 -21% 73% 326,097 38%
Live Cattle LE 14,517 -27% 81% 203,137 55%
Lean Hogs HE 9,046 36% 91% 154,643 55%
Soybean Oil OZL 8,841 -14% 48% 137,738 34%
Soybean Meal OZM 8,006 -51% 72% 116,661 43%
Feeder Cattle GF 2,533 27% 90% 35,011 65%
KC HRW Wheat OKE 2,159 5% 58% 43,022 33%
Weekly Corn ZC1-5 1,942 40% 69% 9,099 81%
Class III Milk DC 1,586 62% 61% 95,528 58%
Weekly Soybean ZS1-5 744 36% 74% 1,820 51%

Trends & Highlights

  • Grain & Oilseed options ADV -38% YoY on low implied volatility
  • Call skew higher for Grains & Oilseeds
  • Hog & Feeder implied volatility elevated, volume +36% and +27% respectively
  • Weekly options ADV +38%

FX Options

  Symbol ADV % YoY % Globex Open Interest OI % Puts
EUR/USD 6E 40,093 32% 97% 344,651 51%
JPY/USD 6J 14,105 -12% 92% 159,711 52%
GBP/USD 6B 8,656 -18% 95% 121,741 51%
CAD/USD 6C 5,224 -13% 96% 57,039 48%
AUD/USD 6A 4,551 -27% 96% 69,210 57%
CHF/USD 6S 99 -67% 100% 4,415 41%
MXN/USD 6M 39 -57% 81% 1,715 46%

Trends & Highlights

  • EUR/USD options increased 32% YoY to 40K contracts/day
  • Weekly FX options traded record  24.7K contracts/day, accounting for 34% of overall FX options volume. 
  • Volatility around the first round of the French election drove Euro FX weekly options ADV of 13K.

Metals Options

  Symbol ADV % YoY % Globex Open Interest OI % Puts
Gold OG 41,263 29% 80% 984,044 33%
Silver SO 5,989 -19% 91% 105,293 33%
Gold Weeklies OG1-5 577 252% 96% 2,431 51%
Palladium PAO 247 159% 28% 4,956 71%
Copper HX 210 108% 100% 3,141 51%
Iron Ore ICT 195 -46% 0% 21,601 39%
Platinum PO 137 -32% 34% 4,790 42%

Trends & Highlights

  • Gold ADV increased 29% YoY to over 41K contracts/day
  • Weekly Gold options ADV remained strong at 577 contracts/day, +252% YoY – a 14th consecutive month of YoY growth
  • Palladium options +159% YoY
  • Copper options +108% YoY

Report Legend

*Open Interest as of 04/28/17
YoY – Compares current period 2017 to same period 2016
MoM – Compares Apr 2017 to Mar 2017

CME Group is a trademark of CME Group Inc. The Globe logo, CME, E-mini and Globex are trademarks of Chicago Mercantile Exchange Inc. CBOT is a trademark of the Board of Trade of the City of Chicago, Inc. NYMEX and ClearPort are trademarks of New York Mercantile Exchange, Inc. COMEX is a trademark of Commodity Exchange, Inc. S&P® 500 and S&P MidCap 400™ are trademarks of The McGraw-Hill Companies, Inc., and have been licensed for use by Chicago Mercantile Exchange Inc. NASDAQ-100 is a trademark of The Nasdaq Stock Market, used under license. Dow Jones is a trademark of Dow Jones & Company, Inc. and used here under license. All other trademarks are the property of their respective owners.

The information within this document has been compiled by CME Group for general purposes only and has not taken into account the specific situations of any recipients of the information. CME Group assumes no responsibility for any errors or omissions. The information in this brochure should not be considered investment advice. All matters pertaining to rules and specifications herein are made subject to and are superseded by official CME, NYMEX and CBOT rules. Current CME/CBOT/NYMEX rules should be consulted in all cases before taking any action.

Futures and options trading is not suitable for all investors, and involves the risk of loss. Futures are a leveraged investment, and because only a percentage of a contract’s value is required to trade, it is possible to lose more than the amount of money deposited for a futures position. Therefore, traders should only use funds that they can afford to lose without affecting their lifestyles. And only a portion of those funds should be devoted to any one trade because they cannot expect to profit on every trade. All references to options refer to options on futures.

Copyright 2017 CME Group All Rights Reserved.

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