June 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 Open Interest*
ADV % Change YoY ADV % Change YoY
Total Options 1,944,684 25% 3,404,501 17% 55,999,714
Interest Rates 795,707 21% 1,873,237 13% 36,865,776
Equity Index 643,777 30% 715,441 32% 5,514,120
Agriculture 246,685 18% 378,308 6% 3,847,052
Energy 150,847 78% 312,614 35% 7,728,010
FX 74,990 -11% 79,268 -9% 795,131
Metals 32,677 51% 45,632 36% 1,249,625

*Open Interest as of 06/30/16


INTEREST RATE OPTIONS

Most Active Interest Rate Options – June 2016

Option Product Symbol Electronic Volume Total Volume
ADV % Change YoY ADV % Change YoY % Puts
Eurodollars (Quarterly/Serial) GE 139,469 137.6% 648,977 78% 44%
1-Year Mid-Curve GE0 95,522 107.7% 276,175 25% 57%
2-Year Mid-Curve GE2 34,867 -26.7% 134,264 -36% 46%
3-Year Mid-Curve GE3 14,126 -35.6% 56,503 -42% 53%
4-Year Mid-Curve GE4 4,057 139.3% 10,199 -11% 46%
5-Year Mid-Curve GE5 0 N/A 2,078 294% 0%
10-Year Note OZN 280,429 5.5% 429,342 2% 40%
5-Year Note OZF 78,690 64.8% 120,848 58% 53%
U.S. Treasury Bond OZB 70,363 9.8% 83,109 -10% 49%
Weekly 10-Year ZN1-5 47,077 -37.0% 67,708 -40% 45%
Weekly 30-Year ZB1-5 15,066 21.6% 18,543 22% 33%
Weekly 5-Year ZF1-5 8,887 1.1% 12,587 -11% 52%
2-Year Note OZT 5,545 -36.3% 8,973 -41% 66%
Ultra T-Bond OUB 274 47.6% 310 51% 16%
Ultra 10-Year Note OTN 7 N/A 11 N/A 57%

Trends & Highlights

  • A record 42.5% of Interest Rate options traded electronically in June
  • Trading outside of U.S. Hours increased 16% with 227,812 interest rate options traded daily between 5pm-7am CT
  • Fed Fund options averaged 461 contracts per day, +14% vs May
  • Ultra 10 options open interest increased to 1,230

EQUITY INDEX OPTIONS

Most Active Equity Index Options – June 2016

Option Product Symbol ADV % Change YoY % Puts Open Interest*
E-mini S&P 500 ES 174,526 -42% 63% 1,367,626
E-mini S&P 500 Weeklies EW1, EW2, EW3, EW4 359,807 141% 65% 2,317,952
E-mini S&P 500 End-of-Month EW 100,752 140% 64% 761,540
Total E-mini S&P 500 options 635,084 29% 64% 4,447,118
S&P 500 SP 14,205 -61% 64% 140,602
S&P 500 Weeklies EV1, EV2, EV3, EV4 46,596 970% 62% 564,057
S&P 500 End-of-Month EV 9,636 195% 66% 297,902
Total S&P 500 options 70,437 59% 63% 1,002,561
E-mini NASDAQ-100 NQ 6,560 63% 44% 55,606
E-mini NASDAQ-100 Weeklies QN1, QN2, QN4 2,113 126% 51% 11,013
E-mini NASDAQ-100 End-of-Month QNE 822 907% 56% 2,305
Total E-mini NASDAQ-100 options 9,495 88% 46% 68,924
E-mini Dow ($5) YM 425 33% 54% 13,826

*Open Interest as of 06/30/16

Trends & Highlights

  • Equity Index options averaged 715,441 contracts per day in June, +32% YoY
  • Weekly E-mini S&P 500 options averaged a record 359,807 contracts per day in June, +141% YoY
  • Open interest in Weekly E-mini S&P 500 options nearly doubled to a record 2,317,952 contracts at month-end
  • Weekly S&P 500 options increased 970% YoY to record ADV of 46,596
  • Equity Index options averaged 67,249 contracts per day outside of U.S. trading hours, +72% YoY

ENERGY OPTIONS

Most Active NYMEX Options – June 2016

Option Product Symbol Settlement ADV % Change YoY % Electronic Open Interest*
WTI Crude Oil LO Physical 146,205 33% 73% 2,742,742
WTI 1 Month CSO WA Physical 15,393 90% 28% 634,050
WTI 1 Month CSO 7A Financial 9,169 236% 2% 463,520
WTI Average Price options AO Financial 1,577 -15% 0% 290,153
WTI Crude Weekly options LO1-LO5 Physical 788 113% 94% 2,445
Brent Crude Oil Futures-Style option BZO Financial 1,566 N/A 2% 31,064
WTI Crude Oil European options LC Financial 1,431 -9% 0% 70,779
WTI-Brent Spread option BV Financial 350 -67% 0% 12,800
Natural Gas European options LN Financial 110,702 27% 21% 2,828,050
Natural Gas options ON Physical 14,337 28% 99% 154,746
Natural Gas 3 Month CSO G3 Financial 1,417 250% 0% 49,990
Natural Gas Daily options KD Financial 2,091 85% 0% 0
NY Harbor ULSD OH Physical 2,777 100% 11% 68,691
RBOB Gasoline OB Physical 1,847 15% 16% 34,035

*Open Interest as of 06/30/16

Trends & Highlights

  • 29% of Natural Gas options were executed electronically, compared to 9% in June 2015
  • Natural Gas Financial Options (LN) electronic ADV surged to a record 23,500, +1841% YoY
  • Brent Futures-Style options (BZO) open Interest hit a record 40,440 contracts on June 24. BZO ADV increased 83% MoM to 1,566

AGRICULTURAL OPTIONS

Most Active Ag Options – June 2016

Option Product Symbol ADV YoY % Change % Elec % Puts Open Interest*
Corn OZC 164,787 41% 65% 43% 1,603,598
Soybean OZS 102,996 12% 71% 43% 1,069,639
SRW Wheat OZW 33,661 -39% 70% 44% 242,446
Live Cattle LE 12,836 14% 67% 49% 220,085
Soybean Meal OZM 10,266 -38% 70% 50% 213,351
Soybean Oil OZL 9,595 17% 53% 43% 134,738
Lean Hogs HE 8,162 -29% 75% 62% 159,056
KC HRW Wheat OKE 2,952 4% 49% 49% 39,685
Class III Milk DC 1,963 111% 53% 49% 72,054
Feeder Cattle GF 1,357 0% 87% 63% 35,293

Non-Standard Options – June 2016

Option Product ADV YoY % Change % Elec % Puts Open Interest*
Short-Dated New Crop options 24,017 -30% 41% 33% 257,988
Weekly options 2,441 -10% 44% 47% 19,510
Calendar Spread options 2,288 4% 1% 51% 18,358

*Open Interest as of 06/30/16

Trends & Highlights

  • Corn options traded a record 164,787 contracts per day, including a single day record of 407,130 contracts on 6/30
  • Record volume month for Grain & Oilseed options with 7.7 million contracts traded
  • Soybean options hit record open interest of 1.4 million contracts on 6/23
  • Record month for Dairy options with 58,910 contracts traded
  • Short-Dated New Crop options traded 109,448 contracts traded on 6/30, the third highest single day on record

FX OPTIONS

Most Active FX Options – June 2016

Option Product Symbol ADV YoY MoM % Puts Open Interest*
EUR/USD 6E 39,447 -31% 29% 61% 320,314
JPY/USD 6J 17,039 41% 21% 48% 179,829
GBP/USD 6B 9,296 4% -9% 53% 137,446
AUD/USD 6A 7,363 54% -11% 59% 80,283
CAD/USD 6C 5,703 38% -12% 59% 66,079
CHF/USD 6S 241 -31% -30% 49% 8,713
MXN/USD 6M 147 231% 101% 52% 2,346

*Open Interest as of 06/30/16

Trends & Highlights

  • June FX options ADV: 79,268 +13% MoM, -9% YoY
  • FX options trading during Asia hours was up 41% YoY
  • Open Interest: 795,131 contracts at month-end

Record FX Options Block ADV

  • Block volume in FX options has grown substantially, reaching record high 3,266 ADV in June
  • FX Option block ADV of 2,188 during Q2 2016 is up tremendously from 149 in Q1 2015, and +16% vs. Q1 2016

G6 American Style Weekly options

  • Weekly EUR/USD options: 6,887 ADV, -28% YoY
  • Weekly JPY/USD options: 3,519 ADV, +106% YoY
  • Weekly GBP/USD options: 1,631 ADV, -10% YoY
  • Weekly AUD/USD options: 1,482 ADV, +62% YoY
  • Weekly CAD/USD options: 1,354 ADV, +90% YoY 

METALS OPTIONS

Most Active Metals Options – June 2016

Option Product Symbol ADV % Change YoY % Electronic % Puts Open Interest*
Gold OG 40,599 49% 70% 42% 1,091,597
Silver SO 4,493 -20% 88% 39% 115,182
Gold Weeklies OG1-OG5 184 49% 98% 44% 1,558
Iron Ore ICT 113 26% 0% 84% 31,817
Copper HX 111 55% 100% 44% 2,786
Palladium PAO 84 -59% 11% 17% 4,657
Platinum PO 48 -75% 51% 39% 3,437

*Open Interest as of 06/30/16

Trends & Highlights

  • June Metals ADV: 45,632, +36% YoY
  • 72% of Metals options traded electronically on CME Globex
  • Gold options volume increased 49% to 40,599 contracts per day
  • Weekly Gold options remained strong with 184 lots per day, +49% YoY 

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 June 2016 to June 2015
MoM – Compares June 2016 to May 2016

Copyright 2016 CME Group All Rights Reserved. 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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