February Options Review

Reviews by Asset Class

Options Complex Overview

Asset Class ADV % YoY % Globex Open Interest
Total Options 3,841,674 9% 56% 63,345,935
Interest Rates 2,468,804 15% 42% 46,907,065
Equity Index 736,454 13% 93% 5,019,670
Energy 297,962 -17% 56% 6,944,942
Agriculture 234,217 19% 71% 2,507,380
FX 60,524 -41% 96% 843,988
Metals 43,712 -35% 77% 1,122,890

Trends & Highlights

  • 3.84M options traded daily – the 3rd highest monthly ADV ever
  • Open interest has now increased 21% YTD to 63.3M contracts

Interest Rate Options

  Symbol ADV % YoY % Globex Open Interest (% Puts)*
Eurodollar options   1,707,962 14% 28% 42,453,649 (63%)
Eurodollars (Quarterly/Serial) GE 841,936 9% 25% 24,537,319 (61%)
1-Year Mid-Curve GE0 417,274 -11% 36% 7,211,190 (65%)
2-Year Mid-Curve GE2 351,283 91% 27% 7,788,958 (69%)
3-Year Mid-Curve GE3 90,881 42% 23% 2,555,857 (60%)
4-Year Mid-Curve GE4 5,155 50% 30% 348,925 (44%)
Treasury options   760,770 15% 76% 4,446,427 (59%)
10-Year Note OZN 417,209 13% 71% 2,222,451 (51%)
5-Year Note OZF 124,056 13% 77% 1,304,951 (74%)
Weekly 10-Year ZN1-5 91,784 37% 84% 249,631 (60%)
U.S. Treasury Bond OZB 83,556 -1% 85% 430,846 (54%)
Weekly 5-Year ZF1-5 19,145 157% 89% 104,018 (64%)
Weekly 30-Year ZB1-5 18,815 5% 90% 50,991 (53%)
2-Year Note OZT 5,982 16% 78% 82,432 (34%)
Fed Fund options OZQ 125 -79% 46% 6,376 (29%)

Trends & Highlights

  • Nearly 2.5M Interest Rate options traded per day, +15% YoY
  • Eurodollar options: Record electronic ADV of 474K contracts/day (28% of volume), driven by:
    • Increased spreading capabilities -- multi-legged strategies account for over 88% of ED options volume on Globex
    • RFQ response rates of over 95% in less than 5 seconds
  • Strong overnight liquidity with 100K Eurodollar options and 95K Treasury options traded daily during overnight hours
  • Weekly Treasury options averaged 129K contracts daily, up 41% YoY
  • Mid-Curves account for 42% of total Eurodollar options open interest, down from 45% in January

Equity Index Options

  Symbol ADV % YoY Open Interest (% Puts)*
E-mini S&P 500 options   668,233 16% 4,451,032 (72%)
Quarterlies ES 184,491 -49% 2,346,285 (69%)
Weekly EW1 - EW4 347,706 108% 1,430,292 (77%)
Wednesday Weekly E1C-E5C 53,199 n/a 94,913 (74%)
End-of-Month EW 82,837 81% 579,542 (73%)
S&P 500 options   59,634 -5% 469,975 (59%)
Quarterlies SP 17,177 -64% 253,457 (49%)
Weekly EV1 - EV4 30,949 264% 25,858 (72%)
Wednesday Weekly S1C-S5C 2,368 n/a 3,046 (78%)
End-of-Month EV 8,700 30% 34,306 (63%)
E-mini NASDAQ-100 options   8,294 -25% 75,071 (60%)
Quarterlies NQ 1,918 -76% 38,988 (61%)
Weekly QN1 - QN4 3,779 50% 28,107 (61%)
End-of-Month QNE 728 41% 7,976 (54%)
E-mini Dow ($5) options YM 292 -71% 7,505 (68%)

Trends & Highlights

  • Equity Index options averaged 736,454 contracts per day, +13% YoY
  • Open interest in Equity Index options has increased 26% this year to 5,019,623 contracts at month-end  

Energy Options

  Symbol Settlement ADV % YoY % Globex Open Interest (%Puts)*
Crude Oil options     159,092 -30% 74% 4,216,203 (46%)
WTI Crude Oil LO Physical 141,115 -30% 81% 2,510,236 (41%)
WTI 1 Month CSO WA Physical 6,358 -26% 6% 734,860 (53%)
WTI 1 Month CSO 7A Financial 2,532 -66% 0% 320,234 (77%)
WTI Average Price AO Financial 2,163 37% 0% 306,587 (55%)
WTI Weeklies LO1-5 Physical 1,693 73% 99% 7,883 (58%)
WTI-Brent Spread BV Financial 1,680 -1% 2% 159,200 (30%)
Brent Futures-Style BZO Financial 1,258 380% 26% 50,598 (48%)
Natural Gas options     135,097 8% 41% 2,541,929 (33%)
Natural Gas European LN Financial 120,270 11% 38% 2,403,509 (33%)
Natural Gas American ON Physical 10,896 -21% 98% 76,063 (46%)
Natural Gas Daily KD Financial 1,575 -7% 0% 0
Refined Product options     2,509 -52% 18% 102,646 (23%)
NY Harbor ULSD OH Physical 1,399 -42% 15% 46,180 (30%)
RBOB Gasoline OB Physical 910 -64% 25% 17,293 (28%)

Trends & Highlights

  • Natural Gas options (LN): Record screen ADV of 45,158 contracts/day (record 38% of volume)
  • Weekly WTI options (LO1-5) surged 73%, trading nearly 1.7K contracts/day
    • Open Interest increased 232% from 1/31
  • Brent options (BZO) increased 380% YoY

Agricultural Options

  Symbol ADV % YoY % Globex Open Interest (% Puts)*
Corn OZC 94,367 60% 71% 919,004 (50%)
Soybean OZS 59,333 -5% 73% 499,322 (46%)
SRW Wheat OZW 32,745 30% 76% 237,280 (43%)
Live Cattle LE 11,167 -38% 71% 183,803 (52%)
Lean Hogs HE 10,248 57% 83% 151,277 (57%)
Soybean Oil OZL 8,168 4% 57% 89,439 (45%)
Soybean Meal OZM 7,588 8% 72% 111,036 (44%)
Class III Milk DC 1,810 57% 70% 93,291 (57%)
KC HRW Wheat OKE 1,640 1% 62% 32,483 (37%)
Feeder Cattle GF 1,045 -25% 92% 33,172 (62%)
Weekly Corn ZC1-5 1,027 -33% 70% 5,798 (48%)
Weekly Soybean ZS1-5 750 58% 80% 3,530 (30%)

Trends & Highlights

  • Dairy options ADV +45% YoY, record OI at 143K contracts
  • July Corn implied volatility increased YoY with large OI at the 360 strike
  • Short-Dated New Crop options trading increased 11% MoM with ADV of 2,168
  • 2017 Ag Options Expiration Calendar

FX Options

  Symbol ADV % YoY % Globex Open Interest (% Puts)*
EUR/USD 6E 24,469 -54% 99% 327,149 (54%)
JPY/USD 6J 15,898 -19% 93% 211,885 (51%)
GBP/USD 6B 10,053 -21% 99% 138,185 (53%)
CAD/USD 6C 4,719 -51% 95% 69,498 (52%)
AUD/USD 6A 4,994 -18% 95% 84,854 (58%)
MXN/USD 6M 204 10% 99% 4,694 (62%)
CHF/USD 6S 186 -59% 100% 7,666 (45%)

Trends & Highlights


Metals Options

Option Product Symbol ADV % YoY % Globex Open Interest (% Puts)*
Gold OG 38,734 -36% 74% 991,651 (32%)
Silver SO 4,267 -34% 85% 97,932 (33%)
Gold Weeklies OG1-5 519 118% 95% 4,023 (54%)
Palladium PAO 111 -48% 18% 3,086 (68%)
Platinum PO 111 -53% 26% 7,661 (47%)
Copper HX 193 79% 85% 1,554 (47%)
Iron Ore ICT 296 64% 0% 16,946 (28%)

Trends & Highlights

  • Weekly Gold options closed Feb with record OI of 4K
  • Weekly Gold options ADV was 519 contracts/day (just shy of the Nov16 record of 534)
  • February was the 12th consecutive month of YoY growth for Weekly Gold options 
  • 2017 Metals Weekly Options Expiration Calendar

Report Legend

*Open Interest as of 02/28/17
YoY – Compares current period 2017 to same period 2016
MoM – Compares Feb 2017 to Jan 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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