January Options Review

Reviews by Asset Class

Options Complex Overview

Asset Class

ADV

% YoY

% Electronic

Open Interest

Total Options

3,435,144

-19%

55%

58,544,181

Interest Rates

2,142,963

-23%

41%

41,954,383

Equity Index

653,871

-12%

93%

4,685,482

Energy

326,248

-18%

53%

7,245,580

Agriculture

202,484

-6%

71%

2,783,776

FX

68,883

-23%

95%

817,401

Metals

40,696

-5%

79%

1,057,559

Trends & Highlights

  • 3.43 million options traded daily – the 5th highest monthly ADV ever
    • -19% YoY (Jan 2016 is the current all-time record month for CME options)
    • +10% vs full year 2016 ADV – the all-time best year in our history
  • Open interest increased 12% to 58.5 million contracts at month-end

Interest Rate Options

 

Symbol

ADV

% YoY

% Electronic

Open Interest (% Puts)*

Eurodollar options

 

1,386,198

-36%

23%

37,282,998 (63%)

Eurodollars (Quarterly/Serial)

GE

600,739

-50%

23%

20,749,349 (58%)

1-Year Mid-Curve

GE0

327,445

-45%

26%

6,162,930 (69%)

2-Year Mid-Curve

GE2

306,110

11%

22%

7,133,200 (71%)

3-Year Mid-Curve

GE3

145,945

90%

20%

2,912,930 (67%

4-Year Mid-Curve

GE4

3,519

-60%

15%

305,363 (45%)

Treasury options

 

756,539

22%

73%

4,654,285 (60%)

10-Year Note

OZN

457,592

43%

72%

2,522,812 (57%)

5-Year Note

OZF

112,746

-7%

64%

1,257,638 (72%)

Weekly 10-Year

ZN1-5

79,096

34%

77%

251,709 (56%)

U.S. Treasury Bond

OZB

77,213

-13%

83%

454,962 (55%)

Weekly 30-Year

ZB1-5

15,009

-13%

90%

56,103 (59%)

Weekly 5-Year

ZF1-5

12,029

4%

86%

47,911 (64%)

2-Year Note

OZT

2,590

-32%

87%

58,457 (30%)

Ultra T-Bond

OUB

101

-51%

83%

2,352 (48%)

Ultra 10-Year Note

OTN

21

281%

100%

1,440 (98%)

Fed Fund options

OZQ

225

-33%

0%

16,948 (0%)

Trends & Highlights

  • Over 2.1 million Interest Rate options traded per day, +19% vs full-year 2016
  • The following products, which were down YoY due to all-time record volume in Jan 2016, significantly outperformed their 2016 full-year ADV
    • Eurodollars options +13% vs full-year 2016
    • 5-Year Note options +34% vs full-year 2016
    • U.S. Treasury Bond options +12% vs full-year 2016
  • 73% of Treasury options (549K contracts/day) traded electronically on CME Globex
  • Mid-Curves account for 45% of total Eurodollar options open interest, up from 42% at the end of December and 38% at the end of November
  • Open interest in 2-Year Mid-Curves increased 31%, and surpassed 1-Year Mid-Curve OI for the first time since July 2015.
  • 2017 Expiration Calendars now available for Treasury options and Eurodollar options.

Equity Index Options

 

Symbol

ADV

% YoY

Open Interest (% Puts)*

E-mini S&P 500 options

 

598,938

-10%

4,076,811 (69%)

Quarterlies

ES

99,512

-77%

1,606,553 (67%)

Weekly

EW1 - EW4

362,179

146%

1,815,160 (71%)

Wednesday Weekly

E1C-E5C

49,366

n/a

100,512 (69%)

End-of-Month

EW

87,881

10%

554,586 (71%)

S&P 500 options

 

46,032

-26%

545,300 (37%)

Quarterlies

SP

6,297

-88%

110,645 (37%)

Weekly

EV1 - EV4

28,462

519%

314,542 (37%)

Wednesday Weekly

S1C-S5C

1,021

n/a

4,770 (37%

End-of-Month

EV

9,440

42%

101,743 (37%)

E-mini NASDAQ-100 options

 

8,585

-53%

55,737 (62%)

Quarterlies

NQ

1,121

-92%

21,955 (56%)

Weekly

QN1 - QN4

3,787

111%

32,096 (66%)

End-of-Month

QNE

334

-81%

1,686 (48%)

E-mini Dow ($5) options

YM

315

-74%

7,579 (68%)

Trends & Highlights

  • Equity Index options traded 653,871 contracts per day in January, +3% vs full year 2016
  • Open interest in Equity options increased 18% in January to 4,685,482 contracts at month-end  
  • 63% of Weekly E-mini S&P 500 options open interest is held in Week 3 options
  • Wednesday weekly options ADV increased 9% MoM to over 50,000 contracts/day

Energy Options

 

Symbol

Settlement

ADV

% YoY

% Elec

Open Interest (%Puts)*

Crude Oil options

 

 

173,910

-35%

71%

4,298,285 (47%)

WTI Crude Oil

LO

Physical

152,312

-35%

80%

2,582,416 (42%)

WTI 1 Month CSO

WA

Physical

10,154

-10%

5%

750,890 (54%)

WTI 1 Month CSO

7A

Financial

2,615

-78%

0%

358,764 (74%)

WTI Average Price

AO

Financial

1,708

258%

0%

299,167 (54%)

Brent Futures-Style

BZO

Financial

727

121%

34%

38,956 (45%)

WTI Weeklies

LO1-5

Physical

1,065

1%

100%

2,376 (48%)

WTI-Brent Spread

BV

Financial

4,417

79%

2%

149,268 (28%)

Natural Gas options

 

 

148,876

23%

33%

2,767,128 (34%)

Natural Gas European

LN

Financial

131,728

30%

28%

2,538,880 (34%)

Natural Gas American

ON

Physical

13,592

-16%

94%

127,690 (34%)

Natural Gas 1 Month CSO

G4

Financial

1,375

52%

0%

61,925 (18%)

Natural Gas Daily

KD

Financial

1,116

-28%

0%

0

Refined Product options

 

 

2,227

-66%

21%

106,329 (24%)

NY Harbor ULSD

OH

Physical

1,146

-68%

20%

52,108 (32%)

RBOB Gasoline

OB

Physical

808

-62%

29%

64,103 (32%)

Trends & Highlights

  • Natural Gas options (LN) ADV +28% YoY, led by record screen ADV of 36,797 contracts/day
  • WTI Calendar Spread options hit record OI of 1,209,358 on January 18
  • WTI-Brent Spread options surged 79% YoY to 4,417 contracts/day
  • 34% of Brent options (BZO) traded electronically

Agricultural Options

 

Symbol

ADV

% YoY

% Electronic

Open Interest (% Puts)*

Corn

OZC

67,199

2%

70%

960,178 (48%)

Soybean

OZS

58,962

0%

74%

546,345 (50%)

SRW Wheat

OZW

28,682

-16%

74%

319,604 (43%)

Live Cattle

LE

12,985

-37%

82%

233,128 (53%)

Soybean Meal

OZM

9,679

22%

64%

119,081 (48%)

Soybean Oil

OZL

7,140

-10%

47%

128,650 (47%)

Lean Hogs

HE

6,883

-21%

86%

173,633 (56%)

Class III Milk

DC

1,773

58%

58%

92,669 (56%)

KC HRW Wheat

OKE

1,564

59%

62%

43,536 (37%)

Feeder Cattle

GF

1,445

-19%

91%

28,176 (64%)

Weekly Corn

ZC1-5

1,429

6%

53%

3,547 (62%)

Weekly Soybean

ZS1-5

603

-13%

85%

2,943 (37%)

Trends & Highlights

  • Soybean options open interest has rebounded 102% since hitting a 10-year low of 284K contracts on 10/21/16
  • Soybean Meal options +22% on higher prices
  • Class III Milk volumes remain strong, +59% YoY
  • Activity starting to pick up in Short-Dated New Crop options with 1,951 contracts/day, +235% MoM
  • Calendar Spread options averaged 1,000 contracts per day, +39% YoY
  • 2017 Ag Options Expiration Calendar

FX Options

 

Symbol

ADV

% YoY

% Electronic

Open Interest (% Puts)*

EUR/USD

6E

27,378

-31%

98%

310,183 (56%)

JPY/USD

6J

18,266

4%

90%

205,313 (51%)

GBP/USD

6B

11,096

1%

97%

121,511 (53%)

CAD/USD

6C

6,214

-50%

99%

78,897 (53%)

AUD/USD

6A

5,118

-39%

93%

84,650 (56%)

MXN/USD

6M

596

324%

99%

9,260 (40%)

CHF/USD

6S

215

-57%

100%

7,558 (48%)

Trends & Highlights

  • MXN options averaged a 596 contracts/day (+324% YoY), including a record 8K contracts on Jan 20
  • JPY options averaged 18,266 contracts/day, +4% YoY and +45% MoM
  • GBP options averaged 11,096 contract/day, +1% YoY and _71% MoM
  • Volatility-Quoted FX options now trading – Learn More
  • 2017 FX Options Expiration Calendar

Metals Options

Option Product

Symbol

ADV

% YoY

% Electronic

Open Interest (% Puts)*

Gold

OG

34,888

-8%

79%

914,248 (32%)

Silver

SO

4,722

23%

89%

111,057 (36%)

Gold Weeklies

OG1-5

278

70%

91%

1,915 (41%)

Palladium

PAO

234

117%

23%

5,469 (72%)

Platinum

PO

221

-30%

16%

6,694 (51%)

Copper

HX

208

135%

54%

4,380 (39%)

Iron Ore

ICT

142

-68%

0%

13,646 (20%)

Trends & Highlights

  • Silver options ADV increased 23% YoY to nearly 5,000 contracts per day
  • Weekly Gold options are nearing record open interest, with 3,033 contract held as of Feb 2, 2017
  • January was the 11th consecutive month of YoY growth for Weekly Gold options 
  • 2017 Metals Weekly Options Expiration Calendar

Report Legend

*Open Interest as of 01/31/17
YoY – Compares current period 2017 to same period 2016
MoM – Compares Jan 2017 to Dec 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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