May Options Review

Reviews by Asset Class

Options Complex Overview

Asset Class

ADV

% YoY

% Globex

Open Interest

Total Options

3,422,433

21%

62%

 66,248,097

Interest Rates

2,028,808

28%

49%

 48,986,908

Equity Index

639,126

13%

93%

 4,453,833

Energy

394,702

44%

64%

 7,435,409

Agriculture

238,412

-20%

75%

 3,487,788

FX

73,602

5%

98%

 808,771

Metals

47,783

7%

71%

 1,075,388

Trends & Highlights

  • Open Interest in options on futures reached a record 70 million contracts on May 11
  • A record 62% of options traded electronically on CME Globex

Interest Rate Options

 

Symbol

ADV

% YoY

% Globex

Open Interest

OI % Puts

Eurodollar options

 

1,359,685

25%

34%

45,372,224

63%

Eurodollars (Quarterly/Serial)

GE

665,832

3%

36%

26,767,528

63%

1-Year Mid-Curve

GE0

422,884

57%

27%

8,840,725

62%

2-Year Mid-Curve

GE2

194,877

49%

37%

6,918,430

65%

3-Year Mid-Curve

GE3

69,896

59%

49%

2,480,535

58%

4-Year Mid-Curve

GE4

4,985

50%

42%

354,850

49%

Treasury options

 

669,082

37%

78%

3,612,533

56%

10-Year Note

OZN

370,160

35%

75%

1,984,053

49%

5-Year Note

OZF

102,215

47%

72%

850,866

77%

Weekly 10-Year

ZN1-5

85,952

44%

85%

234,397

45%

U.S. Treasury Bond

OZB

81,336

67%

91%

414,772

55%

Weekly 30-Year

ZB1-5

14,936

35%

95%

60,144

43%

Weekly 5-Year

ZF1-5

10,636

-34%

93%

35,268

49%

2-Year Note

OZT

3,749

-59%

79%

31,853

25%

Trends & Highlights

  • Total open interest in Interest Rate options reached a record 51.68M contracts on May 25, including a record 7M in Treasury options OI
  • Open interest in Eurodollar options has grown 35% YTD, reaching a record 46M contracts as of June 7
  • 78% of Treasury options traded electronically (Electronic ADV of 525K, +53% YoY)
  • A record 34% of Eurodollar options traded electronically (Electronic ADV of 462K, +93% YoY)
  • Weekly Wednesday Treasury options launched June 5, with deep screen liquidity and 3.8K contracts traded in the first 3 days - Learn more
  • There are now 126 option expirations listed at a time across Eurodollars and Treasuries

Equity Index Options

 

Symbol

ADV

% YoY

Open Interest

OI % Puts

E-mini S&P 500 options

 

583,152

16%

3,954,337

73%

Quarterlies

ES

135,942

-46%

1,970,114

72%

Weekly

EW1 - EW4

300,115

58%

1,157,263

73%

Wednesday Weekly

E1C-E5C

44,039

n/a

63,591

80%

Monday Weekly

E1A - E5A

28,997

n/a

16,821

66%

End-of-Month

EW

74,058

18%

746,548

74%

S&P 500 options

 

46,334

-10%

434,299

67%

Quarterlies

SP

11,012

-62%

205,499

62%

Weekly

EV1 - EV4

24,794

53%

183,706

72%

Wednesday Weekly

S1C-S5C

3,346

n/a

3,854

96%

Monday Weekly

S1A - S5A

2,130

n/a

1,863

46%

End-of-Month

EV

5,052

-19%

39,377

67%

E-mini NASDAQ-100 options

 

9,479

-10%

58,015

70%

Quarterlies

NQ

2,937

-60%

42,854

66%

Weekly

QN1 - QN4

6,225

104%

13,312

82%

End-of-Month

QNE

317

144%

1,849

64%

E-mini Dow ($5) options

YM

162

-73%

7,182

66%

Trends & Highlights

  • Options on S&P 500 futures traded 629K contracts/day, +13% YoY
  • Over 1.3M Monday Weekly S&P 500 options (E-mini and Standard) have traded since launched on April 3 - Learn more

Energy Options

 

Symbol

Settlement

ADV

% YoY

% Globex

Open Interest

OI % Puts

Crude Oil options

 

 

265,859

45%

71%

4,457,882

45%

WTI Crude Oil

LO

Physical

241,396

49%

76%

2,813,369

38%

WTI 1 Month CSO

WA

Physical

9,133

-11%

2%

672,427

57%

WTI 1 Month CSO

7A

Financial

4,950

-11%

0%

354,990

77%

WTI Average Price

AO

Financial

1197.7

-19%

0%

288,593

56%

WTI Weeklies

LO1-5

Physical

3,751

306%

100%

9,966

52%

WTI-Brent Spread

BV

Financial

1,301

194%

3%

149,227

29%

Brent Futures-Style

BZO

Financial

1,937

126%

18%

53,271

26%

Natural Gas options

 

 

124,294

46%

50%

2,759,081

37%

Natural Gas European

LN

Financial

108,560

53%

50%

2,490,841

36%

Natural Gas American

ON

Physical

8,851

-11%

96%

93,551

41%

Natural Gas 1 Month CSO

 

Financial

3,283

21113%

0%

112,550

39%

Natural Gas Daily

KD

Financial

1,710

10%

3%

0

N/A

Refined Product options

 

 

4,234

-16%

16%

109,877

25%

NY Harbor ULSD

OH

Physical

2,404

-13%

11%

49,270

28%

RBOB Gasoline

OB

Physical

1,668

-10%

23%

25,619

25%

Trends & Highlights

  • Natural Gas Financial options (LN) surpassed 50% electronic execution for the first time, with electronic ADV of 53.7K contracts, +227%
  • WTI Crude Oil options (LO) increased 49% YoY, with 241K contracts/day
  • Weekly WTI options (LO1-5) surged 306% to a record 3.7K contracts/day, including a single-day volume record of 12K and record open interest of 17K on 5/25 around OPEC 

Agricultural Options

 

Symbol

ADV

% YoY

% Globex

Open Interest

OI % Puts

Corn

OZC

85,982

-5%

71%

1,323,385

41%

Soybean

OZS

60,589

-43%

83%

649,070

42%

SRW Wheat

OZW

33,533

19%

79%

362,704

37%

Live Cattle

LE

13,749

-37%

75%

255,962

58%

Soybean Oil

OZL

11,465

13%

48%

144,261

36%

Lean Hogs

HE

9,511

11%

87%

182,247

55%

Soybean Meal

OZM

8,667

-42%

71%

136,125

41%

KC HRW Wheat

OKE

3,812

192%

72%

60,583

30%

Class III Milk

DC

1,857

27%

68%

92,237

57%

Feeder Cattle

GF

1,840

16%

91%

34,017

63%

Weekly Corn

ZC1-5

1,156

-29%

68%

4,762

48%

Weekly Soybean

ZS1-5

745

90%

98%

3,936

68%

Trends & Highlights

  • Large uptick in SRW & HRW Wheat volume for May
  • Suppressed volume, volatility and call skew in Soybeans with funds holding large short position
  • Live Cattle option volume is down, volatility and future volume is up

FX Options

 

Symbol

ADV

% YoY

% Globex

Open Interest

OI % Puts

EUR/USD

6E

36,911

21%

98%

348,567

55%

JPY/USD

6J

12,517

-11%

98%

157,050

51%

GBP/USD

6B

11,037

8%

97%

149,051

52%

CAD/USD

6C

6,994

8%

94%

74,371

49%

AUD/USD

6A

5,928

-28%

98%

73,140

53%

CHF/USD

6S

168

-51%

100%

5,138

38%

MXN/USD

6M

48

-34%

53%

1,454

38%

Trends & Highlights


Metals Options

Option Product

Symbol

ADV

% YoY

% Globex

Open Interest

OI % Puts

Gold

OG

39,432

1%

68%

923,339

34%

Silver

SO

6,954

44%

88%

116,394

31%

Gold Weeklies

OG1-5

692

263%

97%

3,249

46%

Palladium

PAO

265

228%

22%

3,784

87%

Copper

HX

197

27%

100%

4,000

50%

Platinum

PO

138

-49%

49%

5,350

47%

Iron Ore

ICT

75

-55%

0%

18,991

35%

Trends & Highlights

  • Gold ADV increased 29% YoY to over 41K contracts/day
  • Weekly Gold options ADV reached a record 692 contracts/day, +263% YoY – a 15th consecutive month of YoY growth
  • Palladium options up big for the second month

Report Legend

*Open Interest as of 05/31/17, 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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