January Options Review

Reviews by Asset Class

OPTIONS COMPLEX OVERVIEW

Asset Class ADV % YoY % Globex Open Interest OI % Puts
Total Options 4,522,124 32% 64% 66,155,392 58%
Interest Rates 2,736,240 28% 52% 48,175,601 59%
Equity Index 950,271 45% 91% 5,635,007 72%
Energy 446,340 37% 67% 7,108,658 46%
Agricultural 233,412 15% 76% 3,166,212 44%
FX 99,427 44% 97% 927,313 54%
Metals 56,434 39% 78% 1,142,601 37%

Trends & Highlights

  • Options ADV reached a record 4.5 million contracts/day in January, +32% YoY
  • Weekly options averaged a record 794K contracts/day in January, +37% YoY

INTEREST RATE OPTIONS

  Symbol ADV % YoY % Globex Open Interest OI % Puts
Eurodollar options   1,792,852 29% 37% 42,157,467 60%
Eurodollars (Quarterly/Serial) GE 806,426 34% 36% 24,663,056 61%
1-Year Mid-Curve GE0 510,574 56% 33% 8,402,671 58%
2-Year Mid-Curve GE2 319,697 4% 44% 5,464,318 60%
3-Year Mid-Curve GE3 145,867 0% 38% 3,281,517 58%
4-Year Mid-Curve GE4 9,061 158% 57% 328,733 48%
Treasury options   943,352 25% 82% 6,017,333 55%
10-Year Note OZN 527,898 15% 80% 3,178,730 55%
T-Bond OZB 114,106 48% 89% 685,787 50%
5-Year Note OZF 128,411 14% 78% 1,251,701 62%
2-Year Note OZT 13,398 417% 65% 268,262 49%
Fri Weekly 10-Year ZN1-5 94,087 19% 88% 353,899 51%
Fri Weekly T-Bond ZB1-5 24,478 63% 92% 105,922 52%
Fri Weekly 5-Year ZF1-5 21,433 78% 75% 143,729 49%
Wed Weekly 10-Year WY1-5 11,579 N/A 85% 17,171 59%
Wed Weekly T-Bond WB1-5 4,360 N/A 94% 1,747 69%
Wed Weekly 5-Year WF1-5 2,783 N/A 89% 3,070 30%

Trends & Highlights

  • Electronic interest rate options ADV reached a record 1.43M in January
  • Multi-legged strategies accounted for 79% of the electronic volume
  • Consistent book depth and tight bid ask spreads across time-zones helped to drive 94% growth in IR options volume during London morning hours (8:00 – 11:59 a.m. GMT)

EQUITY INDEX OPTIONS

  Symbol ADV % YoY Open Interest OI % Puts
E-mini S&P 500 options   844,556 41% 4,882,992 73%
Quarterlies ES 173,976 75% 2,067,788 70%
Weekly EW1 - EW4 432,794 19% 1,975,426 74%
Wednesday Weekly E1C-E5C 42,846 -13% 44,112 67%
Monday Weekly E1A - E5A 43,136 N/A 59,890 79%
End-of-Month EW 151,805 73% 735,776 75%
S&P 500 options   86,512 88% 602,612 64%
Quarterlies SP 9,715 37% 132,269 54%
Weekly EV1 - EV4 53,987 90% 330,092 71%
Wednesday Weekly S1C-S5C 2,575 152% 1,256 100%
Monday Weekly S1A - S5A 2,676 N/A 1,140 12%
End-of-Month EV 17,558 86% 137,855 56%
E-mini NASDAQ-100 options   16,600 93% 117,667 75%
Quarterlies NQ 3,028 170% 41,675 69%
Weekly QN1 - QN4 13,118 84% 72,881 79%
End-of-Month QNE 454 36% 3,111 78%
E-mini Russell 2000 options RTO 2,129 N/A 21,491 70%
E-mini Dow ($5) options YM 474 51% 10,228 65%

Trends & Highlights

  • Equity Index options ADV reached a record 950K contracts/day in January, +45% YoY
  • Open interest in Equity Index options is up 20% YoY

ENERGY OPTIONS

  Symbol Settlement ADV % YoY % Globex Open Interest OI % Puts
Crude Oil options     212,335 22% 73% 4,517,780 50%
WTI Crude Oil LO Physical 181,012 19% 82% 2,946,909 47%
WTI 1 Month CSO WA Physical 11,165 10% 13% 387,872 66%
WTI-Brent Spread BV Financial 5,089 15% 38% 286,616 41%
Brent Futures-Style BZO Financial 4,554 526% 24% 128,453 37%
WTI 1 Month CSO 7A Financial 3,645 39% 9% 223,136 64%
WTI Average Price AO Financial 3,027 77% 0% 461,822 54%
WTI Weeklies LO1-5 Physical 2,887 171% 100% 6,148 54%
Natural Gas options     230,831 55% 62% 2,450,586 39%
Natural Gas European LN Financial 200,736 52% 61% 2,085,232 39%
Natural Gas American ON Physical 19,229 41% 95% 154,428 30%
Natural Gas Daily KD Financial 1,998 79% 73% 0 N/A
Natural Gas 1 Month CSO G3 Financial 6,946 405% 0% 133,628 45%
Refined Product options     2,412 8% 25% 89,565 32%
NY Harbor ULSD OH Physical 1,577 38% 19% 59,360 32%
RBOB Gasoline OB Physical 723 -10% 43% 13,633 46%

Trends & Highlights

  • The Natural Gas options complex averaged a record 231K contracts/day, 55% YoY
  • Natural Gas options (LN) electronic ADV reached a record 123K contracts/day, +235% YoY

AGRICULTURAL OPTIONS

  Symbol ADV % YoY % Globex Open Interest OI % Puts
Corn OZC 76,085 13% 73% 1,229,260 40%
Soybean OZS 62,083 5% 82% 562,351 42%
SRW Wheat OZW 41,543 45% 72% 411,506 40%
Soybean Meal OZM 12,808 32% 66% 140,330 50%
Live Cattle LE 12,392 -5% 91% 195,065 59%
Lean Hogs HE 6,866 0% 88% 158,415 60%
Soybean Oil OZL 5,734 -20% 71% 95,574 42%
KC HRW Wheat OKE 3,925 151% 57% 76,979 31%
Weekly Corn ZC1-5 2,252 58% 45% 11,473 37%
Feeder Cattle GF 1,785 24% 92% 31,657 64%
Weekly Soybean ZS1-5 1,641 172% 84% 9,752 49%
Class III Milk DC 1,521 -14% 81% 70,308 46%
Cash-Settled Cheese CSC 867 109% 71% 48,474 55%

Trends & Highlights

  • Ag options month-end open interest of 3.16M is up 14% YoY, with Corn OI +29%, SRW Wheat OI +29%, and HRW Wheat OI +100%
  • Weekly Ag options volume increased 100% YoY to 4.2K contracts/day, with record ADV in Weekly Soybean options and increased trade in Soybean Meal and Wheat Weekly options
  • HRW Wheat options hit an all-time open interest record of 84,297 and the 2nd  largest volume day on January 31 
  • R-Cross activity is averaging over 4,000 contracts a day

FX OPTIONS

  Symbol ADV % YoY % Globex Open Interest OI % Puts
EUR/USD EUU 53,295 95% 99% 405,587 55%
GBP/USD GPU 15,132 36% 97% 183,238 49%
JPY/USD JPU 13,607 -26% 98% 129,686 50%
CAD/USD CAU 9,137 47% 99% 93,341 58%
AUD/USD ADU 7,998 56% 84% 109,696 61%
CHF/USD CHU 139 -35% 100% 2,808 80%
MXN/USD 6M 50 -92% 81% 1,522 40%

Trends & Highlights

  • Wednesday FX options ADV increased 83% MoM to 6,031 contracts/day while open interest reached 27K contracts

METALS OPTIONS

  Symbol ADV % YoY % Globex Open Interest OI % Puts
Gold OG 45,597 31% 77% 948,107 36%
Silver SO 7,537 60% 80% 151,708 43%
Gold Weeklies OG1-5 1,953 602% 89% 10,319 45%
Copper HX 957 361% 89% 14,334 49%
Platinum PO 224 1% 62% 5,614 25%
Palladium PAO 153 -35% 51% 4,631 27%

Trends & Highlights

  • Weekly Gold options reached record ADV of 1.9K, +602% YoY – a 23rd consecutive month of YoY growth
  • Copper options continue to grow on the heels of a dramatic improvement to liquidity with ADV of 957 and open interest reaching a record 19,140 contracts.

Report Legend

Unless otherwise specified, data contained within the asset class tables is for December 2017
Open Interest as of 01/31/18, unless otherwise specified
YoY – Compares current period 2018 to same period 2017
MoM – Compares current month Jan 2018 to Dec 2017

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