November Options Review

Reviews by Asset Class

OPTIONS COMPLEX OVERVIEW

Asset Class ADV % YoY % Electronic Open Interest*
Total Options 4,251,478 63% 56% 61,158,255
Interest Rates 2,698,948 79% 42% 45,028,034
Equity Index 802,968 60% 93% 4,916,926
Energy 404,847 42% 58% 6,999,842
Agriculture 189,631 -10% 71% 2,291,093
FX 84,405 16% 98% 828,634
Metals 70,679 101% 81% 1,093,726

*Open Interest as of 11/30/16

Trends & Highlights

  • 4.25 million options contracts traded daily, +63% YoY
  • Record electronic ADV of 2.38 million, +74% YoY
  • Single day volume record of 8.16 million options contracts traded on 11/9
  • With an entire month of trading left in 2016, our options complex has already surpassed last year's record of 693 million contracts. A total of 722 million options have traded through November, +14% YoY.

INTEREST RATE OPTIONS

Most Active Interest Rate Options – November 2016

  Symbol ADV % YoY % Electronic Open Interest (% Puts)*
Eurodollar options   1,786,495 73% 26% 40,811,938 (57%)
Eurodollars (Quarterly/Serial) GE 774,817 89% 31% 25,422840 (50%)
1-Year Mid-Curve GE0 419,605 26% 26% 6,411,686 (68%)
2-Year Mid-Curve GE2 374,155 58% 20% 4,982,780 (65%)
3-Year Mid-Curve GE3 203,983 356% 21% 3,357,168 (69%)
4-Year Mid-Curve GE4 12,701 132% 13% 505,115 (53%)
Treasury options   911,988 92% 72% 4,192,587 (58%)
10-Year Note OZN 578,055 144% 68% 2,296,847 (61%)
5-Year Note OZF 118,521 19% 70% 1,068,007 (59%)
U.S. Treasury Bond OZB 96,053 79% 84% 421,277 (51%)
Weekly 10-Year ZN1-5 81,339 66% 80% 219,826 (35%)
Weekly 30-Year ZB1-5 16,333 62% 92% 46,197 (47%)
Weekly 5-Year ZF1-5 14,337 -10% 83% 41,737 (60%)
2-Year Note OZT 6,675 -24% 69% 94,540 (44%)
Ultra T-Bond OUB 450 179% 67% 3,178 (96%)
Ultra 10-Year Note OTN 196 N/A 71% 600 (50%)
Fed Fund options OZQ 465 -65% 13% 20,308 (28%)

*Open Interest as of 11/30/16

Trends & Highlights

  • Interest rate options OI hit an all-time high of 46.5M on 11/23
  • Record month for Treasury options with 912K contracts traded daily, +92% YoY
  • Eurodollar volume has shifted significantly, with mid-curves accounting for 57% in Nov, up from a 2-year low of 33% in August.
  • 38% of Eurodollar options OI is held in mid-curves, up from 30% at the end of October

EQUITY INDEX OPTIONS

Most Active Equity Index Options – November 2016

  Symbol ADV % YoY Open Interest (% Puts)*
E-mini S&P 500 options   740,065 64% 4,224,496 (66%)
Quarterlies ES 206,425 -28% 2,380,444 (65%)
Weekly EW1 - EW4 375,740 189% 1,218,349 (68%)
Wednesday Weekly E1C-E5C 52,368 N/A 39,877 (72%)
End-of-Month EW 105,532 221% 585,826 (67%)
S&P 500 options   52,916 25% 587,055 (49%)
Quarterlies SP 14,835 -52% 247,099 (67%)
Weekly EV1 - EV4 27,396 313% 200,457 (46%)
Wednesday Weekly S1C-S5C 3,037 N/A 2,711 (72%)
End-of-Month EV 7,647 52% 136,788 (20%)
E-mini NASDAQ-100 options   9,547 19% 66,170 (53%)
Quarterlies and Serials NQ 2,757 -52% 45,036 (51%)
Weekly QN1 - QN4 6,403 228% 16,814 (58%)
End-of-Month QNE 387 26% 4,320 (59%)
E-mini Dow ($5) options YM 440 -26% 9,740 (71%)

*Open Interest as of 11/30/16

Trends & Highlights

  • More than 380,000 E-mini S&P 500 Wednesday and Friday Weekly options traded before the U.S. market open on November 9
  • Wednesday Weekly options averaged nearly 80K contracts per day in November, including a record 205K on Nov 9 as market participants managed heightened volatility following the U.S. election.
  • Over 71,000 E-mini S&P 500 options traded daily during non-U.S. hours, +135% YoY

ENERGY OPTIONS

Most Active Energy Options – November 2016

  Symbol Settlement ADV % YoY % Electronic Open Interest (%Puts)*
Crude Oil options     271,529 69% 67% 4,190,024 (43%)
WTI Crude Oil LO Physical 241,544 74% 74% 2,687,022 (38%)
WTI 1 Month CSO WA Physical 12,139 73% 20% 643,079 (46%)
WTI 1 Month CSO 7A Financial 11,819 57% 1% 384,314 (67%)
WTI Average Price options AO Financial 1,013 -15% 0% 265,331 (50%)
Brent Futures-Style option BZO Financial 1,872 N/A 19% 59,342 (43%)
WTI Crude Weekly options LO1-LO5 Physical 1,716 258% 98% 14,694 (66%)
WTI-Brent Spread option BV Financial 326 -75% 0% 21,050 (82%)
Natural Gas options     127,929 7% 40% 2,588,813 (33%)
Natural Gas European options LN Financial 106,678 6% 32% 2,352,028 (33%)
Natural Gas options ON Physical 17,085 8% 96% 131,674 (36%)
Natural Gas 1 Month CSO G1 Financial 1,571 48% 0% 43,550 (19%)
Natural Gas Daily options KD Financial 1,372 6% 0% 0
Refined Product options     4,136 12% 20% 106,031 (21%)
NY Harbor ULSD OH Physical 2,754 40% 13% 54,447 (27%)
RBOB Gasoline OB Physical 1,097 -3% 43% 5,863 (49%)

*Open Interest as of 11/30/16

Trends & Highlights

  • Record 404K energy options traded daily, +42% YoY
  • WTI options (LO) traded a record 241K contracts per day, +74% YoY, including a single day record of 580K contracts on 11/30
    • Record electronic ADV of 177K
    • 26K LO options traded daily during non-U.S. hours, +404% YoY
  • Weekly WTI options (LO1-LO5) hit record OI of 14.7K contracts on 11/30
  • Financial Natural Gas options (LN): Record electronic ADV of 34,652, +464% YoY

AGRICULTURAL OPTIONS

Most Active Ag Options – November 2016

  Symbol ADV % YoY % Electronic Open Interest (% Puts)*
Corn OZC 61,071 -11% 70% 777,489 (54%)
Soybean OZS 57,849 12% 75% 429,261 (53%)
SRW Wheat OZW 26,488 17% 67% 232,989 (38%)
Live Cattle LE 12,290 -42% 81% 236,187 (51%)
Soybean Oil OZL 9,560 0% 54% 93,610 (48%)
Lean Hogs HE 7,367 -51% 86% 214,089 (55%)
Soybean Meal OZM 7,052 -42% 67% 100,037 (48%)
Class III Milk DC 1,532 64% 58% 70,048 (52%)
Feeder Cattle GF 1,487 -7% 87% 28,069 (59%)
KC HRW Wheat OKE 913 -53% 70% 20,680 (31%)
Weekly Corn ZC1-5 881 -5% 40% 2,823 (62%)
Weekly Soybean ZS1-5 823 79% 73% 739 (36%)

*Open Interest as of 11/30/16

Trends & Highlights

  • Soybean options volume increased 12% YoY
    • Weekly soybean options volume increased 79% YoY
  • Class III Milk options volume increased 64% YoY and hit an all-time volume record of 8.8K contracts on 12/2

 


FX OPTIONS

Most Active FX Options – November 2016

  Symbol ADV % YoY % Electronic Open Interest (% Puts)*
EUR/USD 6E 40,615 -7% 99% 323,046 (48%)
JPY/USD 6J 20,407 112% 96% 203,565 (44%)
GBP/USD 6B 9,923 20% 98% 122,109 (51%)
AUD/USD 6A 7,468 34% 99% 93,584 (50%)
CAD/USD 6C 4,836 12% 99% 67,483 (54%)
MXN/USD 6M 576 846% 75% 7,922 (41%)
CHF/USD 6S 580 -53% 100% 10,886 (53%)

*Open Interest as of 11/30/16

Trends & Highlights

  • JPY options +112% with over 20,000 contracts traded daily
  • Mexican Peso options hit record open interest of 10,656 contracts on 11/3. ADV increased 846% YoY to 576 contracts
  • Volatility-Quoted FX options now trading – Learn More

METALS OPTIONS

Most Active Metals Options – November 2016

Option Product

Symbol

ADV

% YoY

% Electronic

Open Interest (% Puts)*

Gold OG 63,082 110% 80% 951,810 (36%)
Silver SO 6,144 46% 89% 101,201 (34%)
Gold Weeklies OG1-5 534 332% 100% 1,289 (53%)
Iron Ore ICT 263 96% 0% 27,462 (47%)
Copper HX 234 4% 91% 3,184 (53%)
Palladium PAO 218 32% 20% 1,939 (58%)
Platinum PO 172 -17% 13% 6,814 (33%)

*Open Interest as of 11/30/16

Trends & Highlights

  • Gold options (OG) ADV surged to a 2-year high of over 63,000 contracts per day, +110% YoY
  • Weekly Gold options (OG1-5) traded a record 534 contracts per day, +332% YoY - a 9th consecutive month of YoY growth

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Report Legend

YoY – Compares current period 2016 to same period 2015
MoM – Compares Nov 2016 to Oct 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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