July Options Review

Reviews by Asset Class

OPTIONS COMPLEX OVERVIEW

Asset Class

ADV

% YoY

% Globex

Open Interest

OI % Puts

Total Options

2,903,507

-8%

70%

58,590,022

59%

Interest Rates

1,589,239

-14%

60%

41,565,151

62%

Equity Index

523,409

-11%

91%

4,440,155

75%

Agricultural

357,314

12%

76%

3,338,051

45%

Energy

295,355

-7%

68%

7,287,009

41%

FX

90,695

46%

98%

836,457

52%

Metals

47,496

27%

84%

1,123,199

34%

Trends & Highlights

  • A record 70% of options traded electronically on CME Globex
  • Agricultural options surged to over 357K contracts/day in July
  • FX options had their best month of 2017, with over 90K contracts/day, +46% YoY

INTEREST RATE OPTIONS

 

Symbol

ADV

% YoY

% Globex

Open Interest

OI % Puts

Eurodollar options

 

839,439

-38%

41%

37,035,594

63%

Eurodollars (Quarterly/Serial)

GE

343,570

-59%

39%

23,388,603

64%

1-Year Mid-Curve

GE0

234,564

-22%

38%

5,438,343

61%

2-Year Mid-Curve

GE2

165,970

29%

43%

5,859,671

63%

3-Year Mid-Curve

GE3

87,543

36%

52%

2,102,927

53%

4-Year Mid-Curve

GE4

6,713

-45%

27%

244,355

51%

Treasury options

 

749,799

49%

81%

4,528,656

56%

10-Year Note

OZN

399,400

49%

78%

2,555,701

49%

5-Year Note

OZF

77,534

18%

80%

1,025,219

74%

T-Bond

OZB

108,460

63%

87%

599,923

54%

Fri Weekly 10-Year

ZN1-5

109,625

48%

82%

170,744

64%

Fri Weekly T-Bond

ZB1-5

22,067

48%

92%

66,644

52%

Fri Weekly 5-Year

ZF1-5

16,779

93%

92%

43,821

65%

2-Year Note

OZT

2,983

-34%

65%

34,286

25%

Wed Weekly 10-Year

WY1-5

8,443

N/A

82%

20,308

32%

Wed Weekly T-Bond

WB1-5

2,486

N/A

99%

7,219

53%

Wed Weekly 5-Year

WF1-5

1,860

N/A

100%

2,857

47%

Trends & Highlights

  • A record 60% of Rates options traded electronically, with 81% of Treasuries and a record 41% of Eurodollars traded on CME Globex
  • Wednesday Weekly Treasury options ADV grew to 12,789 contracts/day in July (+40% MoM), with open interest reaching 43,387 contacts.
  • Friday Weekly options also continue to grow with ADV of 148K in July, +52% YoY

EQUITY INDEX OPTIONS

 

Symbol

ADV

% YoY

Open Interest

OI % Puts

E-mini S&P 500 options

 

459,815

-13%

3,898,326

75%

Quarterlies

ES

65,855

-36%

1,372,744

72%

Weekly

EW1 - EW4

275,405

-15%

1,700,415

76%

Wednesday Weekly

E1C-E5C

33,059

N/A

86,253

85%

Monday Weekly

E1A - E5A

17,938

N/A

32,765

72%

End-of-Month

EW

67,558

-32%

706,149

77%

S&P 500 options

 

49,202

-6%

460,790

72%

Quarterlies

SP

3,743

-48%

101,881

60%

Weekly

EV1 - EV4

33,610

7%

287,536

79%

Wednesday Weekly

S1C-S5C

2,144

N/A

6,903

74%

Monday Weekly

S1A - S5A

1,509

N/A

5,218

95%

End-of-Month

EV

8,195

-41%

59,252

56%

E-mini NASDAQ-100 options

 

13,848

88%

71,985

75%

Quarterlies

NQ

1,606

-51%

28,225

71%

Weekly

QN1 - QN4

11,722

324%

41,584

78%

End-of-Month

QNE

520

-61%

2,176

75%

E-mini Dow ($5) options

YM

297

-14%

5,725

72%

E-mini Russell 2000 options

RTO

247

N/A

3,329

67%

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 remained strong at 13.8K contracts/day, +88% YoY

ENERGY OPTIONS

 

Symbol

Settlement

ADV

% YoY

% Globex

Open Interest

OI % Puts

Crude Oil options

 

 

191,126

-4%

75%

4,575,920

44%

WTI Crude Oil

LO

Physical

171,145

0%

81%

2,995,945

40%

WTI 1 Month CSO

WA

Physical

9,114

-45%

10%

665,923

55%

WTI Weeklies

LO1-5

Physical

3,211

339%

100%

5,428

44%

WTI 1 Month CSO

7A

Financial

1,438

-74%

0%

310,718

68%

WTI Average Price

AO

Financial

2,826

183%

0%

293,611

55%

Brent Futures-Style

BZO

Financial

1,865

40%

33%

56,706

36%

WTI-Brent Spread

BV

Financial

368

-49%

8%

141,670

27%

Natural Gas options

 

 

101,167

-13%

56%

2,512,058

35%

Natural Gas European

LN

Financial

88,862

-9%

54%

2,209,555

34%

Natural Gas American

ON

Physical

8,874

-43%

95%

99,874

39%

Natural Gas Daily

KD

Financial

1,803

109%

11%

0

N/A

Natural Gas 1 Month CSO

G4

Financial

485

223%

8%

126,875

43%

Refined Product options

 

 

2,708

-31%

16%

117,330

25%

NY Harbor ULSD

OH

Physical

1,173

-53%

17%

57,014

25%

RBOB Gasoline

OB

Physical

1,220

20%

20%

26,763

29%

Trends & Highlights

  • A record 54% of Natural Gas Financial options (LN) traded on screen.
  • Weekly WTI options (LO1-5) surged 339% YoY to 3.2K contracts/day.

AGRICULTURAL OPTIONS

 

Symbol

ADV

% YoY

% Globex

Open Interest

OI % Puts

Corn

OZC

155,841

28%

73%

1,305,693

42%

Soybean

OZS

104,653

-2%

82%

696,080

42%

SRW Wheat

OZW

41,953

80%

77%

354,308

49%

Soybean Meal

OZM

11,769

28%

69%

116,115

45%

Lean Hogs

HE

9,454

-12%

85%

184,593

58%

Live Cattle

LE

8,951

-30%

83%

203,394

56%

Soybean Oil

OZL

5,649

-31%

61%

85,572

47%

Weekly Corn

ZC1-5

3,356

183%

45%

10,325

27%

KC HRW Wheat

OKE

2,681

113%

65%

52,827

42%

Class III Milk

DC

1,656

39%

69%

85,209

56%

Weekly Soybean

ZS1-5

1,279

345%

89%

2,805

49%

Feeder Cattle

GF

1,163

-27%

81%

47,342

56%

Trends & Highlights

  • Corn options ADV surged to 155K contracts/day, the third highest monthly ADV on record
  • SRW & HRW Wheat volume continue to outperform, +80% and +113%, respectively, YoY
  • After reaching record OI in June, HRW Wheat options open interest remains strong after the July expiration
  • Weekly options volume increased 205% YoY with 4.6K contracts/day

FX OPTIONS

 

Symbol

ADV

% YoY

% Globex

Open Interest

OI % Puts

EUR/USD

EUU

43,291

77%

99%

338,390

53%

JPY/USD

JPU

15,216

-9%

98%

139,394

50%

CAD/USD

CAU

11,818

109%

98%

117,294

56%

AUD/USD

ADU

10,114

88%

95%

86,727

57%

GBP/USD

GPU

10,063

7%

96%

149,167

48%

CHF/USD

CHU

171

-43%

100%

4,359

67%

MXN/USD

6M

22

-84%

100%

1,126

59%

Trends & Highlights

  • FX Weekly options reached record ADV of 29.5K contracts/day, a sixth consecutive record month.
  • EUR/USD options volume increased 77% YoY

METALS OPTIONS

 

Symbol

ADV

% YoY

% Globex

Open Interest

OI % Puts

Gold

OG

39,471

35%

83%

976,023

34%

Silver

SO

6,569

-2%

90%

115,497

32%

Gold Weeklies

OG1-5

511

93%

97%

2,139

47%

Palladium

PAO

337

25%

17%

7,955

56%

Copper

HX

299

3%

100%

5,174

48%

Platinum

PO

162

22%

52%

3,146

29%

Iron Ore

ICT

144

-55%

0%

13,251

37%

Trends & Highlights

  • Liquidity enhancements in Copper options have resulted in bid/ask spreads and book depth rivaling silver options.

Report Legend

Open Interest as of 07/31/17, 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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