August Options Review

Offering more flexibility (strike, duration, exercise style) and precision, options on futures allow market participants to better customize their risk management strategies to their specific needs.

Reviews by Asset Class

OPTIONS COMPLEX OVERVIEW

Asset Class

2016 YTD ADV

August ADV

% YoY

% Electronic

Open Interest*

Total Options

3,096,123

2,430,590

-19%

59%

54,480,496

Interest Rates

1,775,102

1,319,941

-15%

42%

36,320,012

Equity Index

605,709

517,102

-33%

93%

5,476,450

Energy

318,297

300,340

0%

61%

7,688,424

Agriculture

278,123

210,060

-18%

70%

3,056,817

FX

74,311

50,496

-39%

97%

700,791

Metals

44,581

32,650

-11%

75%

1,238,002

*Open Interest as of 08/31/16


INTEREST RATE OPTIONS

Most Active Interest Rate Options – August 2016

 

Symbol

ADV

% YoY

% Electronic

Open Interest (% Puts)*

Eurodollar options

 

848,230

-14%

25%

33,322,070 (55%)

Eurodollars (Quarterly/Serial)

GE

569,213

15%

23%

23,238,407 (55%)

1-Year Mid-Curve

GE0

152,771

-26%

31%

5,422,412 (58%)

2-Year Mid-Curve

GE2

77,495

-56%

29%

2,898,135 (52%)

3-Year Mid-Curve

GE3

38,051

-57%

25%

1,438,131 (57%)

4-Year Mid-Curve

GE4

8,786

-39%

14%

303,810 (46%)

5-Year Mid-Curve

GE5

391

722%

0%

12,000 (33%)

Treasury options

 

471,500

-17%

73%

2,980,427 (57%)

10-Year Note

OZN

239,407

-16%

71%

1,444,748 (47%)

5-Year Note

OZF

76,432

0%

70%

803,368 (75%)

Weekly 10-Year

ZN1-5

75,116

-9%

72%

245,341 (57%)

U.S. Treasury Bond

OZB

51,295

-37%

83%

304,669 (51%)

Weekly 30-Year

ZB1-5

12,367

-6%

85%

43,544 (65%)

2-Year Note

OZT

8,549

-8%

80%

57,331 (52%)

Weekly 5-Year

ZF1-5

7,312

-63%

76%

64,808 (63%)

Ultra 10-Year Note

OTN

580

N/A

25%

5,643 (63%)

Ultra T-Bond

OUB

373

-21%

31%

10,100 (1%)

Fed Fund options

OZQ

210

-80%

7%

18,200 (78%)

*Open Interest as of 08/31/16

Trends & Highlights

  • For a second month in a row, a record 73% of Treasury options traded electronically on CME Globex
  • Eurodollar options open interest increased to 33M, with 70% held in quarterlies & serials
  • Ultra 10 options traded over 13K contracts in August with open interest surpassing 10K

EQUITY INDEX OPTIONS

Most Active Equity Index Options – August 2016

 

Symbol

ADV

% YoY

Open Interest (% Puts)*

E-mini S&P 500 options

 

469,192

-33%

4,688,933 (65%)

Quarterlies

ES

126,680

-71%

2,554,768 (63%)

Weekly

EW1 - EW4

272,357

31%

1,447,247 (69%)

End-of-Month

EW

70,155

14%

686,918 (63%)

S&P 500 options

 

38,330

-42%

660,196 (42%)

Quarterlies

SP

10,804

-80%

295,868 (47%)

Weekly

EV1 - EV4

22,386

260%

231,496 (48%)

End-of-Month

EV

5,140

-16%

132,832 (17%)

E-mini NASDAQ-100 options

 

9,412

30%

90,916 (47%)

Quarterlies and Serials

NQ

2,623

-55%

60,607 (48%)

Weekly

QN1 - QN4

5,946

414%

24,471 (50%)

End-of-Month

QNE

843

389%

5,838 (26%)

E-mini Dow ($5) options

YM

168

-82%

11,596 (82%)

*Open Interest as of 08/31/16

Trends & Highlights

  • Equity Index options are averaging 605,709 contracts per day in 2016, +9% YoY, and currently on pace for a third consecutive record year
  • Over 50,000 Equity Index options trade daily during non-U.S. hours, +37% YoY
  • Wednesday Weekly options on S&P 500 and E-mini S&P 500 futures will be available for trading beginning September 26.
    • Wednesday Weekly options provides you with the opportunity to fine-tune your trading strategies, particularly ahead of market-moving events and reports.
    • New Wednesday options are European style and will trade like existing Weekly Index options, but they will expire on Wednesdays instead of Fridays.
    • Learn more at cmegroup.com/equityweeklies

ENERGY OPTIONS

Most Active Energy Options – August 2016

 

Symbol

Settlement

ADV

% YoY

% Electronic

Open Interest (Puts)*

Crude Oil options

 

 

194,104

-15%

72%

4,432,092 (44%)

WTI Crude Oil

LO

Physical

173,699

-12%

78%

2,822,807 (39%)

WTI 1 Month CSO

WA

Physical

11,125

-21%

20%

725,920 (49%)

WTI 1 Month CSO

7A

Financial

3,387

-68%

12%

363,660 (74%)

WTI Average Price options

AO

Financial

1,930

18%

0%

278,637 (47%)

WTI Crude Weekly options

LO1-LO5

Physical

1,045

17%

100%

3,558 (57%)

Brent Futures-Style option

BZO

Financial

1,279

N/A

9%

52,638 (36%)

WTI Crude Oil European options

LC

Financial

552

-78%

0%

68,424 (14%)

WTI-Brent Spread option

BV

Financial

661

44%

0%

21,510 (79%

Natural Gas options

 

 

101,964

58%

43%

2,974,199 (39%)

Natural Gas European options

LN

Financial

87,301

60%

36%

2,722,825 (39%)

Natural Gas options

ON

Physical

11,790

58%

98%

138,035 (56%)

Natural Gas 3 Month CSO

G3

Financial

760

-30%

0%

55,689 (26%)

Natural Gas Daily options

KD

Financial

1,149

40%

0%

0 (N/A)

Refined Product options

 

 

3,423

-29%

18%

143,203 (24%)

NY Harbor ULSD

OH

Physical

1,900

-16%

14%

66,160 (29%)

RBOB Gasoline

OB

Physical

1,255

-26%

26%

24,410 (37%)

*Open Interest as of 08/31/16

Trends & Highlights

  • A record 61% of energy options traded electronically
  • A record 43% of Natural Gas options traded on screen, compared to 14% in Aug 2015
  • Financial Natural Gas Options (LN) hit record average daily screen volume of 31,757
  • Brent Futures-Style options (BZO) open interest hit a record 60,850 contracts on 8/24

AGRICULTURAL OPTIONS

Most Active Ag Options – August 2016

 

Symbol

ADV

% YoY

% Electronic

Open Interest (% Puts)*

Corn

OZC

76,097

-26%

68%

1,193,123 (47%)

Soybean

OZS

57,588

-20%

77%

761,902 (46%)

SRW Wheat

OZW

25,399

24%

69%

253,847 (46%)

Live Cattle

LE

13,156

-4%

75%

212,992 (54%)

Soybean Oil

OZL

10,129

10%

50%

128,945 (46%)

Lean Hogs

HE

7,858

-23%

82%

166,171 (57%)

Soybean Meal

OZM

7,179

-24%

64%

159,143 (51%)

Feeder Cattle

GF

1,708

-4%

86%

31,619 (59%)

KC HRW Wheat

OKE

1,334

25%

55%

29,813 (38%)

Class III Milk

DC

1,562

63%

64%

70,755 (55%)

Non-Standard Options – August 2016

 

ADV

% YoY

% Electronic

Open Interest (% Puts)*

Short-Dated New Crop options

4,700

-51%

50%

7,695 (46%)

Weekly options

1,261

-30%

53%

6,188 (49%)

Calendar Spread options

1,170

-2%

0%

31,158 (81%)

*Open Interest as of 08/31/16

Trends & Highlights

  • Low volatility and low price for the month of August
  • Over 16K spreads trade in Dairy complex on Globex
  • Corn implied volatility cut in half over last 60 days
  • 66% chance November Soybeans stay between 890 & 1014 by Nov expiration

FX OPTIONS

Most Active FX Options – July 2016

Option Product

Symbol

ADV

% YoY

Open Interest (*Puts)

EUR/USD

6E

21,068

-54%

263,348 (52%)

JPY/USD

6J

11,913

-18%

168,954 (55%)

GBP/USD

6B

7,868

-15%

117,956 (50%)

AUD/USD

6A

5,044

-12%

75,388 (54%)

CAD/USD

6C

4,245

-43%

63,996 (50%)

CHF/USD

6S

186

-42%

7,820 (56%)

MXN/USD

6M

173

129%

3,230 (38%)

*Open Interest as of 08/31/16

Trends & Highlights

  • FX Options ADV is down 19% compared to July
  • Mexican Peso options ADV is +129% vs. August 2015 and achieved record daily volume on August 11 with 3,230 contracts
  • 30-day volatility in EUR/USD fell 28% in August, reaching new lows for 2016
    • Hawkish comments from the Fed led to uncertainty on the potential for a near term rate increase
    • September announcements on US labor and housing statistics as well as FOMC could act as volatility drivers

Conversion to European-Style FX Options

  • The conversion from American-style to European-style for the G6 FX Options began in August with the listing of the January 2017 serial (please reference the Special Executive Report from July 13, 2016 for specific details)
    • Premium-quoted European-style options on the six Major FX futures will replace the American-style premium-quoted options
    • The currently listed American-style FX options on the six Major futures will expire at their regularly scheduled expiry and any new listing months upon expiry will be listed in the new European-style options
    • European-style Weekly, Monthly, and Quarterly Option contracts on AUD/USD, GBP/USD, CAD/USD, EUR/USD, JPY/USD, and CHF/USD will exercise into the nearest quarterly futures contract

METALS OPTIONS

Most Active Metals Options – August 2016

Option Product

Symbol

ADV

% YoY

% Electronic

Open Interest (% Puts)

Gold

OG

26,260

-16%

74%

1,064,627 (31%)

Silver

SO

5,451

11%

84%

128,855 (34%)

Platinum

PO

296

571%

25%

6,042 (31%)

Palladium

PAO

213

13%

11%

3,544 (85%)

Gold Weeklies

OG1-OG5

148

63%

100%

802 (57%)

Copper

HX

146

45%

100%

3,252 (30%)

Iron Ore

ICT

135

69%

0%

31,614 (54%)

*Open Interest as of 08/31/16

Trends & Highlights

  • 75% of Metals options traded electronically on CME Globex
  • Copper options open interest hit a near all-time high of 7,491 - 150 lots shy of the record
  • Weekly Gold options YTD ADV is up 105% YoY 

OPTIONS TOOLS & RESOURCES

CHECK OUT OUR NEWEST QUIKSTRIKE TOOLS

This Week In Options: Analyze how key options information compares to the prior week, including volatility, risk reversal prices, open interest, put/call ratios, and more.

Vol2Vol™ Expected Range: Based on an expiration's most recent settlement information, this report displays volume and open interest (by strike) plotted on top of the current distribution for the most recent settlement volatility and days to expiration.

Volatility Term Structure Tool: Compare charts of current implied volatilities across expiration to the view from one week earlier.

Visit cmegroup.com/quikstrike to view our entire suite of free QuikStrike tools.

Report Legend

YoY – Compares Aug 2016 to Aug 2015

MoM – Compares Aug 2016 to July 2016

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.

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