December Options Review

Reviews by Asset Class

OPTIONS COMPLEX OVERVIEW

Asset Class ADV % YoY % Electronic Open Interest*
Total Options 3,152,038 16% 56% 52,458,803
Interest Rates 1,901,488 21% 40% 37,533,180
Equity Index 644,903 18% 94% 3,970,586
Energy 337,413 14% 56% 6,831,851
Agriculture 165,987 -13% 71% 2,373,741
FX 62,567 -17% 98% 656,253
Metals 39,680 47% 75% 1,093,192

*Open Interest as of 12/30/16

Trends & Highlights

  • Record full year ADV of 3.13 million, +14% vs the previous record of 2.72 million in 2015
  • Options open interest hit an all-time record 69.3 million contracts on 12/15
  • A record 55.5% of options traded electronically in 2016

INTEREST RATE OPTIONS

Most Active Interest Rate Options – December 2016

  Symbol ADV % YoY % Electronic Open Interest (% Puts)*
Eurodollar options   1,286,398 16% 24% 33,823,186 (61%)
Eurodollars (Quarterly/Serial) GE 458,997 -17% 23% 19,592,586 (55%)
1-Year Mid-Curve GE0 367,646 36% 24% 5,338,463 (70%)
2-Year Mid-Curve GE2 265,235 23% 28% 5,454,330 (69%)
3-Year Mid-Curve GE3 178,154 158% 22% 2,962,935 (69%)
4-Year Mid-Curve GE4 14,177 216% 19% 463,962 (60%)
Treasury options   615,028 32% 73% 3,695,350 (59%)
10-Year Note OZN 405,385 83% 73% 2,110,357 (55%)
5-Year Note OZF 67,578 -27% 61% 1,020,614 (75%)
Weekly 10-Year ZN1-5 59,256 -6% 78% 106,790 (49%)
U.S. Treasury Bond OZB 53,833 1% 87% 375,201 (50%)
Weekly 30-Year ZB1-5 13,202 2% 89% 17,814 (42%)
Weekly 5-Year ZF1-5 12,015 -25% 72% 15,862 (67%)
2-Year Note OZT 3,492 -27% 46% 45,931 (16%)
Ultra T-Bond OUB 59 -72% 77% 1,473 (68%)
Ultra 10-Year Note OTN 65 N/A 100% 1,375 (100%)
Fed Fund options OZQ 62 -70% 23% 13,648 (5%)

*Open Interest as of 12/30/16

Trends & Highlights

  • Interest Rate options averaged a record 1.8 million contracts per day in 2016, +18% YoY. A record 702K contracts traded daily on CME Globex.
  • Electronic percentages reached new highs in Treasury options (71% in 2016, up from 64% in 2015) and Eurodollar options (24% in 2016, up from 19% in 2015)
  • Interest rate options OI hit an all-time high of 51.4 million on 12/15, and closed 2016 up 32% from the end of 2015
  • Mid-curves accounted for 64% of Eurodollar options volume in December, up from 57% in November and 35% in Q3-16
  • 42% Eurodollar options OI is held in mid-curves, up from 38% at the end of November

EQUITY INDEX OPTIONS

Most Active Equity Index Options – December 2016

  Symbol ADV % YoY Open Interest (% Puts)*
E-mini S&P 500 options   594,773 21% 3,453,613 (67%
Quarterlies ES 184,140 -39% 1.070,942 (64%)
Weekly EW1 - EW4 257,347 98% 1,840,575 (69%)
Wednesday Weekly E1C-E5C 44,548 n/a 82,310 (68%)
End-of-Month EW 108,738 86% 459,786 (67%)
S&P 500 options   41,885 -14% 469,412 (39%)
Quarterlies SP 11,502 -70% 28,514 (55%)
Weekly EV1 - EV4 20,883 319% 325,980 (45%)
Wednesday Weekly S1C-S5C 820 n/a 840 (100%)
End-of-Month EV 8,203 77% 110,218 (16%)
E-mini NASDAQ-100 options   7,746 -21% 38,738 (58%)
Quarterlies NQ 1,909 -75% 7,367 (46%)
Weekly QN1 - QN4 3,890 184% 30,717 (61%)
End-of-Month QNE 1,947 211% 654 (69%)
E-mini Dow ($5) options YM 498 7% 8,421 (57%)

*Open Interest as of 12/30/16

Trends & Highlights

  • Equity Index options traded a record 636,383 contracts per day in 2016, +15% vs the previous record set in 2015
  • 94% of Equity options traded electronically in December
  • Wednesday weekly options continue to grow with December ADV of 45,368

ENERGY OPTIONS

Most Active Energy Options – December 2016

  Symbol Settlement ADV % YoY % Elec Open Interest (%Puts)*
Crude Oil options     218,942 34% 64% 4,115,324 (47%)
WTI Crude Oil LO Physical 187,104 24% 74% 2,457,680 (42%)
WTI 1 Month CSO WA Physical 10,842 94% 13% 676,972 (51%)
WTI 1 Month CSO 7A Financial 8,248 149% 0% 395,136 (73%)
WTI Average Price AO Financial 4,024 535% 0% 302,491 (53%)
Brent Futures-Style BZO Financial 1,207 3,587% 28% 60,893 (53%)
WTI Weeklies LO1-5 Physical 1,099 22% 99% 2,482 (74%)
WTI-Brent Spread BV Financial 4,744 347% 0% 97,545 (31%)
Natural Gas options     115,022 -9% 41% 2,534,800 (33%)
Natural Gas European LN Financial 94,606 -11% 34% 2,282,427 (33%)
Natural Gas American ON Physical 15,734 -10% 96% 151,608 (31%)
Natural Gas 1 Month CSO G1 Financial 2,601 241% 0% 61,650 (23%)
Natural Gas Daily KD Financial 1,282 -5% 0% 0
Refined Product options     2,604 -50% 15% 104,790 (24%)
NY Harbor ULSD OH Physical 1,694 -41% 12% 53,129 (34%)
RBOB Gasoline OB Physical 500 -59% 38% 6,231 (32%)

*Open Interest as of 12/30/16

Trends & Highlights

  • Energy options traded a record 324,426 contracts per day in 2016, with a record 54.5% traded on screen
    • 2016 ADV records were made in the following products: LO, WA, 7A, LO1-5, BZO, LNE
  • WTI options (LO) traded 18K contracts per day during non-U.S. hours, +205% YoY
  • Weekly WTI options (LO1-LO5) hit record OI of 15,357 contracts on 12/1
  • 41% of Natural Gas options traded electronically in December
    • Financial Natural Gas options (LN) electronic ADV was 32K, +232% YoY

AGRICULTURAL OPTIONS

Most Active Ag Options – December 2016

  Symbol ADV % YoY % Electronic Open Interest (% Puts)*
Soybean OZS 50,763 -20% 74% 411,432 (50%)
Corn OZC 50,014 10% 67% 830,720 (49%)
SRW Wheat OZW 21,590 18% 72% 309,619 (39%)
Live Cattle LE 11,608 -46% 82% 196,134 (52%)
Lean Hogs HE 9,437 -9% 83% 146,909 (57%)
Soybean Oil OZL 7,826 -47% 54% 99,657 (46%)
Soybean Meal OZM 6,432 -30% 66% 109,093 (47%)
Class III Milk DC 2,566 150% 57% 92,370 (55%)
Feeder Cattle GF 1,265 -39% 88% 34,302 (60%)
Weekly Corn ZC1-5 1,180 119% 45% 7,612 (20%)
KC HRW Wheat OKE 934 38% 50% 31,385 (34%)
Weekly Soybean ZS1-5 528 61% 73% 1,017 (61%)

*Open Interest as of 12/30/16

Trends & Highlights

  • Implied vol is at a 6-year low for March Corn and Soybean contracts
  • Open interest in Class III Milk options continues to climb with 92K contracts held at month-end, +73% in 2016
  • Dairy options hit record volume of 68K in December with 69% of Globex volume executed as spread
  • Weekly options increased 104% YoY to 1,796 contracts traded per day
  • On the year, Soybean options volume increased 10% YoY, to 77,656 contracts per day

FX OPTIONS

Most Active FX Options – December 2016

  Symbol ADV % YoY % Electronic Open Interest (% Puts)*
EUR/USD 6E 32,646 -28% 99% 248,977 (54%)
JPY/USD 6J 12,554 20% 95% 169,935 (43%)
GBP/USD 6B 6,501 -8% 100% 93,329 (53%)
CAD/USD 6C 5,242 -22% 99% 61,651 (53%)
AUD/USD 6A 5,208 13% 95% 71,265 (56%)
CHF/USD 6S 368 -12% 100% 8,031 (53%)
MXN/USD 6M 48 -44% 98% 3,322 (39%)

*Open Interest as of 12/30/16

Trends & Highlights

  • JPY options averaged 15,168 contracts per day in 2016, +32% YoY.
  • AUD options averaged 6,566 contracts per day in 2016, +8% YoY
  • CAD options averaged 6,476 contracts per day in 2016, +16% YoY
  • Volatility-Quoted FX options now trading – Learn More

METALS OPTIONS

Most Active Metals Options – December 2016

Option Product Symbol ADV % YoY % Electronic Open Interest (% Puts)*
Gold OG 34,953 50% 75% 953,176 (34%)
Silver SO 3,817 30% 84% 104,888 (36%)
Gold Weeklies OG1-5 305 317% 99% 694 (39%)
Platinum PO 269 115% 14% 7,740 (40%)
Palladium PAO 202 592% 6% 2,652 (79%)
Copper HX 87 43% 79% 2,661 (62%)
Iron Ore ICT 25 -95% 0% 21,375 (38%)

*Open Interest as of 12/30/16

Trends & Highlights

  • Gold options (OG) ADV increased 50% YoY to nearly 35,000 contracts per day
  • On the year, Gold options volume increased 32% YoY to nearly 40,000 contracts per day
  • Weekly Gold options (OG1-5) traded 305 contracts per day, +99% YoY - a 10th consecutive month of YoY growth

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Report Legend

YoY – Compares current period 2016 to same period 2015
MoM – Compares Dec 2016 to Nov 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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