October Options Review

Reviews by Asset Class

OPTIONS COMPLEX OVERVIEW

Asset Class

ADV

% YoY

% Electronic

Open Interest*

Total Options

2,491,439

-8%

60%

53,383,456

Interest Rates

1,297,367

-15%

42%

36,069,920

Equity Index

592,709

4%

93%

4,798,198

Energy

291,746

4%

56%

7,405,837

Agriculture

200,575

-7%

71%

3,084,794

FX

63,693

-11%

96%

721,401

Metals

45,349

22%

74%

1,303,306

*Open Interest as of 10/31/16

Trends & Highlights

  • Over 60% of options traded electronically for the second consecutive month
  • YTD options complex ADV: 3,014,751, +9% compared to the same period in 2015

INTEREST RATE OPTIONS

Most Active Interest Rate Options – October 2016

 

Symbol

ADV

% YoY

% Electronic

Open Interest (% Puts)*

Eurodollar options

 

831,074

-23%

26%

32,463,134 (56%)

Eurodollars (Quarterly/Serial)

GE

453,793

-2%

24%

22,741,086 (53%)

1-Year Mid-Curve

GE0

220,968

-38%

27%

5,200,378 (66%)

2-Year Mid-Curve

GE2

85,670

-58%

28%

2,390,344 (60%)

3-Year Mid-Curve

GE3

57,281

22%

27%

1,756,074 (62%)

4-Year Mid-Curve

GE4

9,910

51%

28%

357,252 (47%)

Treasury options

 

466,180

4%

73%

3,588,206 (56%)

10-Year Note

OZN

250,724

7%

72%

1,929,676 (51%)

U.S. Treasury Bond

OZB

62,365

12%

77%

441,598 (44%)

5-Year Note

OZF

52,355

-19%

62%

789,188 (76%)

Weekly 10-Year

ZN1-5

65,753

7%

77%

204,069 (46%)

Weekly 30-Year

ZB1-5

18,650

44%

84%

31,413 (50%)

2-Year Note

OZT

5,572

15%

40%

119,820 (53%)

Weekly 5-Year

ZF1-5

9,753

-29%

91%

43,049 (55%)

Ultra T-Bond

OUB

670

346%

45%

18,474 (63%)

Ultra 10-Year Note

OTN

296

N/A

37%

10,272 (16%)

Fed Fund options

OZQ

112

-95%

1%

18,580 (73%)

*Open Interest as of 10/31/16

Trends & Highlights

  • 42% of Interest Rate options traded electronically, matching the all-time high
  • 70% of Eurodollar options open interest is held in quarterlies & serials
  • View the latest Rates Recap for an in-depth update on Interest Rate options, including around the clock liquidity, CME Globex enhancements, and more.

EQUITY INDEX OPTIONS

Most Active Equity Index Options – October 2016

 

Symbol

ADV

% YoY

Open Interest (% Puts)*

E-mini S&P 500 options

 

539,841

4%

4,177,373 (68%)

Quarterlies

ES

89,533

-71%

1,671,599 (64%)

Weekly

EW1 - EW4

363,191

145%

1,801,698 (71%)

Wednesday Weekly

E1C-E5C

22,569

n/a

58,878 (78%)

End-of-Month

EW

64,548

13%

645,198 (71%)

S&P 500 options

 

43,529

3%

532,042 (57%)

Quarterlies

SP

4,083

-87%

119,298 (52%)

Weekly

EV1 - EV4

30,440

536%

325,140 (66%)

Wednesday Weekly

S1C-S5C

2,285

n/a

8,641 (80%)

End-of-Month

EV

6,420

21%

78,963 (22%)

E-mini NASDAQ-100 options

 

9,086

36%

55,377 (53%)

Quarterlies and Serials

NQ

1,572

-68%

28,191 (53%)

Weekly

QN1 - QN4

3,650

279%

26,533 (53%)

End-of-Month

QNE

307

-61%

653 (50%)

E-mini Dow ($5) options

YM

254

-53%

7,314 (75%)

*Open Interest as of 10/31/16

Trends & Highlights

  • Wednesday Weekly options
    • Nearly 22K ADV (high of 45K on Oct.12 and more than 570K traded since launch)
    • More than 67.5K contracts in open interest
    • Over 950 unique accounts trading across multiple client segments

ENERGY OPTIONS

Most Active Energy Options – October 2016

 

Symbol

Settlement

ADV

% YoY

% Electronic

Open Interest (%Puts)*

Crude Oil options

 

 

173,593

11%

69%

4,554,579 (43%)

WTI Crude Oil

LO

Physical

150,570

8%

76%

3,079,105 (41%)

WTI 1 Month CSO

WA

Physical

11,051

106%

24%

640,901 (43%)

WTI 1 Month CSO

7A

Financial

5,124

-30%

0%

335,125 (69%)

WTI Average Price options

AO

Financial

2,461

60%

0%

281,296 (49%)

Brent Futures-Style option

BZO

Financial

1,999

N/A

20%

59,143 (49%)

WTI Crude Weekly options

LO1-LO5

Physical

965

87%

100%

2,462 (74%)

WTI-Brent Spread option

BV

Financial

619

-7%

0%

21,060 (85%)

Natural Gas options

 

 

113,793

-4%

38%

2,605,623 (35%)

Natural Gas European options

LN

Financial

95,016

-4%

31%

2,380,289 (34%)

Natural Gas options

ON

Physical

14,879

-10%

95%

138,228 (43%)

Natural Gas 1 Month CSO

G4

Financial

1,689

29%

0%

27,750 (6%)

Natural Gas Daily options

KD

Financial

1,505

13%

0%

0

Refined Product options

 

 

3,040

-24%

14%

146,955 (24%)

NY Harbor ULSD

OH

Physical

1,755

-15%

13%

76,750 (28%)

RBOB Gasoline

OB

Physical

592

-53%

35%

21,088 (44%)

*Open Interest as of 10/31/16

Trends & Highlights

  • October was the 10th consecutive month of YoY ADV growth for Energy options
  • Financial Natural Gas Options (LN) average daily screen volume was 29,527, +515% YoY
  • Brent Futures-Style options (BZO) open interest climbed to a record 80,944 contracts on 10/2
    • A record 8.7K contracts traded on 10/18

AGRICULTURAL OPTIONS

Most Active Ag Options – October 2016

 

Symbol

ADV

% YoY

% Electronic

Open Interest (% Puts)*

Corn

OZC

73,534

15%

69%

1,401,380 (48%)

Soybean

OZS

57,516

-17%

74%

358,525 (51%)

SRW Wheat

OZW

21,915

-14%

75%

319,384 (43%)

Live Cattle

LE

13,774

-26%

79%

218,200 (51%)

Lean Hogs

HE

10,616

10%

85%

192,820 (56%)

Soybean Oil

OZL

7,644

-19%

48%

146,955 (52%)

Soybean Meal

OZM

6,938

-38%

68%

173,688 (48%)

Feeder Cattle

GF

1,807

8%

86%

29,568 (57%)

Class III Milk

DC

1,615

103%

68%

85,708 (51%)

Weekly Corn

ZC1-5

1,441

-1%

45%

2,752 (15%)

Weekly Soybean

ZS1-5

926

84%

76%

1,074 (43%)

KC HRW Wheat

OKE

531

-44%

71%

37,580 (36%)

*Open Interest as of 10/31/16

Trends & Highlights

  • Implied volatility: Livestock at historically high seasonal levels while Grains are at five-year lows
  • Corn options volume increased 15% YoY
  • Class III Milk options remained strong with ADV of 1,615 as seasonal hedge activity continued
  • Weekly soybean options volume increased 84% YoY

FX OPTIONS

Most Active FX Options – October 2016

 

Symbol

ADV

% YoY

% Electronic

Open Interest (% Puts)*

EUR/USD

6E

25,809

-35%

98%

252,025 (50%)

JPY/USD

6J

11,753

-13%

98%

148,902 (54%)

GBP/USD

6B

14,444

106%

96%

151,939 (50%)

AUD/USD

6A

5,560

4%

91%

86,613 (60%)

CAD/USD

6C

5,463

5%

94%

65,374 (54%)

MXN/USD

6M

400

320%

71%

9,598 (42%)

CHF/USD

6S

263

-50%

100%

6,950 (55%)

*Open Interest as of 10/31/16

Trends & Highlights

  • GBP options +106% with over 14,000 contracts traded daily
  • Mexican Peso options ADV +230% YoY with 400 contracts traded daily
  • Volatility-Quoted FX Options launching 14 November – Learn more

METALS OPTIONS

Most Active Metals Options – October 2016

Option Product

Symbol

ADV

% YoY

% Electronic

Open Interest (% Puts)*

Gold

OG

39,354

22%

74%

1,120,493 (31%)

Silver

SO

5,016

21%

86%

137,363 (33%)

Gold Weeklies

OG1-OG5

287

211%

97%

1,389 (40%)

Copper

HX

242

175%

48%

5,389 (53%)

Palladium

PAO

195

5%

6%

3,569 (75%)

Platinum

PO

176

-17%

20%

5,833 (32%)

Iron Ore

ICT

42

-81%

0%

29,064 (54%)

*Open Interest as of 10/31/16

Trends & Highlights

  • Gold options +14% YoY with over 30,000 contracts traded daily
  • Silver options +73% with 6,435 contracts traded daily
  • Weekly Gold options remain steady with an 8th consecutive month of YoY growth

CHECK OUT OUR NEWEST QUIKSTRIKE TOOLS

Cross-Asset Correlation Tool: Discover a simple, yet powerful, way to visualize and analyze pairwise correlations in three ways across CME Group products.

Visit cmegroup.com/quikstrike to view our entire suite of free QuikStrike tools.

Report Legend

YoY – Compares current period 2016 to same period 2015
MoM – Compares Oct 2016 to Sep 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.

Read More Reports

View previous months' options reports over the last year.

View Archived Reports

About CME Group

As the world's leading and most diverse derivatives marketplace, CME Group is where the world comes to manage risk. Comprised of four exchanges - CME, CBOT, NYMEX and COMEX - we offer the widest range of global benchmark products across all major asset classes, helping businesses everywhere mitigate the myriad of risks they face in today's uncertain global economy.

Follow us for global economic and financial news.

CME Group on Twitter

CME Group on Facebook

CME Group on LinkedIn