July Options Review

Offering more flexibility (strike, duration, exercise style) and precision, options on futures allow market participants to better customize their risk management strategies to their specific needs.

 

Reviews by Asset Class

OPTIONS COMPLEX OVERVIEW

Asset Class Electronic Volume Total Volume % Electronic Open Interest*
ADV % YoY ADV % YoY
Total Options 1,675,390 6% 3,169,688 9% 53% 53,815,199
Interest Rates 656,323 7% 1,847,240 18% 36% 35,068,940
Equity Index 534,400 2% 586,914 0% 91% 5,336,275
Agriculture 216,315 1% 317,840 -10% 68% 3,640,695
Energy 182,021 38% 318,410 9% 57% 7,828,913
FX 59,734 -11% 61,988 -11% 96% 711,464
Metals 26,598 -20% 37,295 -17% 71% 1,228,912

*Open Interest as of 07/29/16


INTEREST RATE OPTIONS

Most Active Interest Rate Options – July 2016

Option Product Symbol Electronic Volume Total Volume
ADV % YoY ADV % YoY % Puts
Eurodollars (Quarterly/Serial) GE 159,622 81% 836,705 86% 60%
1-Year Mid-Curve GE0 75,817 93% 300,850 62% 70%
2-Year Mid-Curve GE2 36,502 -15% 128,283 -35% 62%
3-Year Mid-Curve GE3 16,418 -24% 64,190 -24% 61%
4-Year Mid-Curve GE4 2,431 152% 12,249 105% 44%
10-Year Note OZN 191,195 -5% 268,334 -16% 55%
5-Year Note OZF 41,822 0% 65,548 -3% 67%
U.S. Treasury Bond OZB 52,789 -21% 66,689 -29% 51%
Weekly 10-Year ZN1-5 55,948 -29% 74,003 -35% 68%
Weekly 30-Year ZB1-5 11,876 -5% 14,904 -3% 56%
Weekly 5-Year ZF1-5 6,748 -48% 8,697 -54% 77%
2-Year Note OZT 3,875 27% 4,504 -28% 73%
Ultra T-Bond OUB 253 10% 350 34% 64%
Ultra 10-Year Note OTN 42 N/A 142 N/A 86%

Trends & Highlights

  • A record 73% of Treasury options traded electronically on CME Globex
  • Eurodollar options open interest stands at 31,661,532, with 68% held in quarterlies & serials
  • Ultra 10 options open interest increased 139% to 2,940 at month-end

EQUITY INDEX OPTIONS

Most Active Equity Index Options – July 2016

Option Product Symbol ADV % YoY % Puts Open Interest*
E-mini S&P 500 options   526,692 1% 60% 4,476,994
Quarterlies ES 102,349 -67% 62% 1,879,773
Weekly EW1 - EW4 325,104 133% 61% 1,999,107
End-of-Month EW 99,239 35% 54% 598,114
S&P 500 options   52,514 -12% 51% 757,133
Quarterlies SP 6,955 -85% 43% 198,004
Weekly EV1 - EV4 31,364 519% 57% 369,861
End-of-Month EV 13,949 95% 41% 189,268
E-mini NASDAQ-100 options   7,362 63% 52% 69,505
Quarterlies and Serials NQ 3,257 -4% 54% 42,964
Weekly QN1 - QN4 2,185 116% 51% 25,741
End-of-Month QNE 1,341 977% 50% 800
E-mini Dow ($5) YM 346 17% 52% 10,618

*Open Interest as of 07/29/16

Trends & Highlights

  • Equity Index options averaged 586,914 contracts per day in July, +1% YoY
  • E-mini S&P 500 options ADV of 526,692 for July is +5% compared to 2015 full-year ADV
  • S&P 500 options ADV of 52,514 for July is +13% compared to 2015 full-year ADV.
  • Tremendous growth continues in End-of-Month E-mini S&P 500 options – July ADV of 99,239 is +89% compared to 2015 full-year ADV.
  • E-mini NASDAQ-100 options complex continues to flourish in 2016 as July ADV of 7,362 is +21% compared to 2015 full-year ADV.
    • July ADV of 2,185 for Weekly options is +126% compared to 2015 full-year ADV while ADV of 1,341 for End-of-Month options is +400% over the same period.

ENERGY OPTIONS

Most Active NYMEX Options – July 2016

Option Product Symbol Settlement ADV % YoY % Electronic Open Interest*
WTI Crude Oil LO Physical 170,730 0% 78% 2,889,573
WTI 1 Month CSO WA Physical 16,501 62% 39% 698,671
WTI 1 Month CSO 7A Financial 5,450 7% 0% 372,295
WTI Average Price options AO Financial 1,000 -32% 0% 276,861
WTI Crude Weekly options LO1-LO5 Physical 732 72% 95% 1,832
Brent Crude Oil Futures-Style option BZO Financial 1,330 N/A 15% 42,510
WTI Crude Oil European options LC Financial 1,190 -65% 0% 76,339
WTI-Brent Spread option BV Financial 718 14% 0% 17,450
Natural Gas European options LN Financial 97,805 18% 27% 2,818,476
Natural Gas options ON Physical 15,605 65% 98% 151,002
Natural Gas 3 Month CSO G3 Financial 852 83% 0% 53,415
Natural Gas Daily options KD Financial 864 -3% 0% 0
NY Harbor ULSD OH Physical 2,493 55% 12% 67,450
RBOB Gasoline OB Physical 1,018 -50% 24% 30,465

*Open Interest as of 07/29/16

Trends & Highlights

  • 57% of energy options traded electronically, with average daily screen volume of 182,021, +38% YoY
  • Natural Gas
    • Record 36% of Natural Gas options traded on screen, compared to 11% in July 2015
    • Financial Natural Gas Options (LN) hit record average daily screen volume of 26,107, +13 times YoY
  • Crude Oil
    • A record 78% of WTI Crude Oil (LO) options traded electronically
    • Record open interest in WTI Calendar Spread options as 12-month Crude Oil contango reversed
    • Brent Futures-Style options (BZO) open Interest continued to climb with 42,510 contracts at month-end

AGRICULTURAL OPTIONS

Most Active Ag Options – July 2016

Option Product Symbol ADV % YoY % Electronic % Puts Open Interest*
Corn OZC 121,523 -22 67% 49% 1,473,444
Soybean OZS 106,838 38% 75% 47% 916,706
SRW Wheat OZW 23,355 -39% 67% 59% 281,519
Live Cattle LE 12,837 5% 77% 51% 240,211
Lean Hogs HE 10,715 -8% 79% 61% 169,133
Soybean Meal OZM 9,249 -1% 63% 53% 197,909
Soybean Oil OZL 8,189 -1% 48% 44% 138,345
Feeder Cattle GF 1,589 -11% 85% 54% 42,338
KC HRW Wheat OKE 1,258 23% 63% 67% 44,878
Class III Milk DC 1,188 6% 67% 45% 80,637

Non-Standard Options – July 2016

Option Product ADV % YoY % Electronic % Puts Open Interest*
Short-Dated New Crop options 18,009 -45% 41% 62% 163,866
Weekly options 1,526 -40% 52% 56% 2,154
Calendar Spread options 823 -42% 0% 37% 25,530

*Open Interest as of 07/29/16

Trends & Highlights

  • Soybean options volume +38% YoY
  • Lean Hog volatility at elevated levels (30%)
  • December Corn volatility at suppressed levels (22%)
  • EU Wheat options launching September 12

FX OPTIONS

Most Active FX Options – July 2016

Option Product Symbol ADV % YoY % Puts Open Interest*
EUR/USD 6E 24,418 -37% 53% 264,866
JPY/USD 6J 16,698 64% 48% 178,822
GBP/USD 6B 9,402 38% 51% 119,621
AUD/USD 6A 5,384 -25% 56% 71,512
CAD/USD 6C 5,649 -12% 56% 64,713
CHF/USD 6S 299 -28% 64% 9,012
MXN/USD 6M 138 74% 18% 2,749

*Open Interest as of 07/29/16

Trends & Highlights

  • July 2016 FX Options ADV of 61,988 ($7 billion notional)
  • FX options trading during Asia hours was up 66% YoY
  • Open Interest: 711,464 contracts at month-end

Conversion to European-Style FX Options

  • The conversion from American-style to European-style for the G6 FX Options begins in August (please reference the SER from July 13, 2016 for specific details)
    • European-style Weekly, Monthly, and Quarterly Option contracts on AUD/USD, GBP/USD, CAD/USD, EUR/USD, JPY/USD, and CHF/USD will exercise into the nearest quarterly futures contract
    • January 2017 monthly serial options will be the first listed, on the August 8, 2016 trade date
  • CME Group will stop listing additional contract months for the existing American-style FX option contracts on G6 pairs
    • Appendix 1 from Advisory Notice details final option expiry calendar of the American-style option contracts

METALS OPTIONS

Most Active Metals Options – July 2016

Option Product Symbol ADV % YoY % Electronic % Puts Open Interest*
Gold OG 29,277 -24% 69% 43% 1,046,079
Silver SO 6,731 22% 88% 39% 131,922
Iron Ore ICT 320 -52% 0% 81% 33,886
Copper HX 290 205% 55% 42% 5,711
Palladium PAO 270 118% 9% 72% 6,946
Gold Weeklies OG1-OG5 266 257% 87% 53% 177
Platinum PO 133 -25% 21% 12% 4,327

*Open Interest as of 07/29/16

Trends & Highlights

  • 71% of Metals options traded electronically on CME Globex
  • Copper options ADV of 290 is +205% YoY, and +118% compared to 2016 YTD ADV of 133
    • Copper options open interest hit a 3-year high on 7/25 with 6,966 contracts held
  • Weekly Gold options ADV was a record 266, +257% YoY, including a single day volume record of 1,049 on 7/7.
    • Gold weeklies hit record open interest on 7/7 with 1,972 contracts

OPTIONS TOOLS & RESOURCES

QuikStrike Pricing & Analysis Tools | cmegroup.com/quikstrike

CME Direct | cmegroup.com/direct

Request For Quote (RFQ) Functionality | cmegroup.com/rfq

Daily Market Overview Reports

Access our complete suite of resources at cmegroup.com/options

Report Legend

YoY – Compares July 2016 to July 2015
MoM – Compares July 2016 to June 2016

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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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