August Options Review

Reviews by Asset Class

OPTIONS COMPLEX OVERVIEW

Asset Class ADV % YoY % Globex Open Interest OI % Puts
Total Options 3,149,936 30% 69% 63,306,842 60%
Interest Rates 1,766,786 34% 57% 46,012,772 62%
Equity Index 725,176 40% 92% 5,105,892 75%
Energy 263,737 -12% 66% 7,190,047 41%
Agricultural 255,172 21% 77% 2,884,754 47%
FX 85,653 70% 99% 903,434 52%
Metals 53,412 64% 77% 1,209,943 35%

INTEREST RATE OPTIONS

  Symbol ADV % YoY % Globex Open Interest OI % Puts
Eurodollar options   978,461 15% 41% 40,903,241 63%
Eurodollars (Quarterly/Serial) GE 324,279 -43% 34% 24,652,645 64%
1-Year Mid-Curve GE0 303,347 99% 38% 6,815,941 63%
2-Year Mid-Curve GE2 233,464 201% 48% 6,457,679 63%
3-Year Mid-Curve GE3 107,481 182% 57% 2,643,448 56%
4-Year Mid-Curve GE4 7,829 -11% 23% 324,728 58%
Treasury options   788,182 67% 78% 5,106,630 54%
10-Year Note OZN 444,786 86% 76% 2,846,201 43%
5-Year Note OZF 94,729 24% 74% 984,653 77%
T-Bond OZB 89,876 75% 89% 494,068 62%
2-Year Note OZT 21,330 149% 53% 329,176 75%
Fri Weekly 10-Year ZN1-5 88,064 17% 82% 293,492 53%
Fri Weekly T-Bond ZB1-5 20,060 62% 90% 94,268 32%
Fri Weekly 5-Year ZF1-5 12,635 73% 87% 51,818 60%
Wed Weekly 10-Year WY1-5 10,284 N/A 87% 9,269 51%
Wed Weekly T-Bond WB1-5 4,758 N/A 96% 1,561 18%
Wed Weekly 5-Year WF1-5 1,517 N/A 97% 519 70%

Trends & Highlights

  • IR options electronic ADV increased 82% YoY to over 1M contracts/day
    • Electronic Eurodollar options ADV +89% YoY to 402K (40% of total volume)
    • Electronic Treasury options ADV +79% YoY to 613K (78% of total volume)
  • Open interest in Treasury options reached a record 7.2M on Aug 24
  • Wednesday Weekly Treasury options ADV grew to 16.6K contracts/day in Aug, including a record 60K contracts on Aug 29 amid North Korea concerns
  • 2-Year Note options surged 149% YoY to over 21K contracts/day ($4.2B Notional)

EQUITY INDEX OPTIONS

  Symbol ADV % YoY Open Interest OI % Puts
E-mini S&P 500 options   650,462 39% 4,461,802 75%
Quarterlies ES 166,995 32% 2,100,929 75%
Weekly EW1 - EW4 311,919 15% 1,511,829 76%
Wednesday Weekly E1C-E5C 46,645 N/A 29,951 78%
Monday Weekly E1A - E5A 34,438 N/A 41,574 65%
End-of-Month EW 90,464 29% 777,519 76%
S&P 500 options   58,225 52% 543,446 75%
Quarterlies SP 12,120 12% 192,552 72%
Weekly EV1 - EV4 28,845 29% 235,184 81%
Wednesday Weekly S1C-S5C 4,006 N/A 1,734 100%
Monday Weekly S1A - S5A 4,902 N/A 8,215 6%
End-of-Month EV 8,353 63% 106,161 73%
E-mini NASDAQ-100 options   15,679 67% 84,783 69%
Quarterlies NQ 3,737 42% 54,790 67%
Weekly QN1 - QN4 11,598 95% 26,880 71%
End-of-Month QNE 344 -59% 3,113 83%
E-mini Russell 2000 options RTO 517 N/A 8,357 49%
E-mini Dow ($5) options YM 293, 74% 7,094 73%

Trends & Highlights

  • Daily volume is quickly climbing in E-mini Russell 2000 Index options, launched on July 10, 2017
  • E-mini NASDAQ-100 options ADV is growing with 15.6K contracts/day, +67% YoY

ENERGY OPTIONS

  Symbol Settlement ADV % YoY % Globex Open Interest OI % Puts
Crude Oil options     168,589 -13% 74% 4,572,336 45%
WTI Crude Oil LO Physical 144,617 -17% 81% 2,923,330 40%
WTI 1 Month CSO WA Physical 8,424 -24% 29% 678,616 56%
WTI Weeklies LO1-5 Physical 3,356 221% 99% 13,008 43%
WTI 1 Month CSO 7A Financial 3,957 17% 0% 292,947 72%
WTI Average Price AO Financial 2,918 51% 0% 316,080 55%
Brent Futures-Style BZO Financial 2,339 83% 54% 76,147 35%
WTI-Brent Spread BV Financial 1,379 109% 5% 158,564 29%
Natural Gas options     91,030 -11% 55% 2,422,804 35%
Natural Gas European LN Financial 79,615 -9% 54% 2,118,582 34%
Natural Gas American ON Physical 6,591 -44% 97% 97,579 41%
Natural Gas Daily KD Financial 2,418 110% 39% 0 N/A
Natural Gas 3 Month CSO G3 Financial 1,123 48% 0% 42,000 78%
Refined Product options     3,424 0% 18% 114,857 26%
NY Harbor ULSD OH Physical 1,407 -26% 15% 54,970 25%
RBOB Gasoline OB Physical 1,780 42% 23% 29,849 37%

Trends & Highlights

  • For a second consecutive month, a record 54% of Natural Gas Financial options (LN) traded on screen
  • Weekly WTI options (LO1-5) continue to grow, with 3,356 contracts/day, +221% YoY

Agricultural Options

  Symbol ADV % YoY % Globex Open Interest OI % Puts
Corn OZC 99,825 31% 74% 1,108,697 44%
Soybean OZS 74,026 29% 82% 634,439 46%
SRW Wheat OZW 29,867 18% 78% 301,179 48%
Lean Hogs HE 13,849 76% 87% 182,770 62%
Live Cattle LE 9,744 -26% 82% 181,806 57%
Soybean Oil OZL 8,237 -19% 63% 76,822 47%
Soybean Meal OZM 6,388 -11% 67% 108,160 43%
KC HRW Wheat OKE 2,352 76% 74% 46,368 36%
Feeder Cattle GF 1,791 5% 87% 57,369 55%
Class III Milk DC 1,606 3% 62% 68,408 55%
Weekly Corn ZC1-5 1,284 58% 76% 4,461 50%
Weekly Soybean ZS1-5 1,159 181% 90% 4,473 56%

Trends & Highlights

  • Grain and Oilseed implied volatility extremely low
  • December Live Cattle implied volatility 50% above six-year average
  • Request for Cross (R-Cross) volume surpassed 1,000 contracts per day in Aug. Cross volume is now up 66% in 2017.

FX OPTIONS

  Symbol ADV % YoY % Globex Open Interest OI % Puts
EUR/USD EUU 46,683 122% 99% 376,009 53%
JPY/USD JPU 14,855 25% 99% 155,925 51%
GBP/USD GPU 10,262 30% 98% 156,605 47%
CAD/USD CAU 7,318 72% 98% 118,589 54%
AUD/USD ADU 6,360 26% 98% 89,306 59%
CHF/USD CHU 165 -11% 100% 6,216 74%
MXN/USD 6M 10 -94% 100% 784 53%

Trends & Highlights

  • FX Weekly options reached record ADV of 30,659 contracts/day, a sixth consecutive record month
  • EUR/USD options volume increased 122% YoY

METALS OPTIONS

  Symbol ADV % YoY % Globex Open Interest OI % Puts
Gold OG 43,476 66% 75% 1,051,617 35%
Silver SO 7,485 37% 92% 113,177 32%
Gold Weeklies OG1-5 820 454% 91% 7,714 38%
Palladium PAO 585 174% 14% 7,528 24%
Copper HX 454 211% 100% 6,319 53%
Iron Ore ICT 402 198% 0% 20,036 44%
Platinum PO 189 -36% 48% 3,533 27%

Trends & Highlights

  • Liquidity enhancements in Copper options has resulted in tighter bid/ask spreads, greater book depth, a 211% increase in trading volume, and record open interest of 8,833 contracts on 8/25
  • Weekly Gold options ADV reached a record 820 contracts/day, +454% YoY – an 18th consecutive month of YoY growth

Report Legend

Open Interest as of 08/31/17, unless otherwise specified
YoY – Compares current period 2017 to same period 2016
MoM – Compares current month 2017 to previous month 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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