September 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 ADV % YoY % Electronic Open Interest*
Total Options 2,887,095 9% 60% 52,181,416
Interest Rates 1,535,688 3% 41% 34,905,438
Equity Index 750,342 26% 94% 4,587,308
Energy 316,128 27% 60% 7,462,242
Agriculture 188,196 -18% 72% 3,324,433
FX 58,622 -14% 98% 645,763
Metals 38,118 22% 75% 1,256,232

*Open Interest as of 09/30/16

Trends & Highlights

  • For the first time ever, over 60% of options traded electronically on CME Globex.
  • YTD options complex ADV: 3,072,897, +11% compared to the same period in 2015

INTEREST RATE OPTIONS

Most Active Interest Rate Options – September 2016

  Symbol ADV % YoY % Electronic Open Interest (% Puts)*
Eurodollar options   996,044 3% 24% 31,416,810 (54%)
Eurodollars (Quarterly/Serial) GE 648,281 22% 21% 22,702,784 (53%)
1-Year Mid-Curve GE0 189,644 -17% 30% 4,786,262 (56%)
2-Year Mid-Curve GE2 88,398 -34% 28% 2,094,434 (55%)
3-Year Mid-Curve GE3 55,823 -3% 28% 1,512,510 (60%)
4-Year Mid-Curve GE4 11,758 -3% 21% 307,820 (49%)
Treasury options   538,790 4% 73% 3,470,054 (53%)
10-Year Note OZN 266,472 -1% 72% 1,759,451 (45%)
U.S. Treasury Bond OZB 82,417 8% 80% 451,960 (42%)
5-Year Note OZF 76,653 7% 65% 864,186 (77%)
Weekly 10-Year ZN1-5 75,668 42% 71% 217,488 (48%)
Weekly 30-Year ZB1-5 20,613 82% 74% 47,356 (71%)
2-Year Note OZT 8,281 -50% 82% 77,482 (62%)
Weekly 5-Year ZF1-5 7,147 -61% 88% 19,383 (57%)
Ultra T-Bond OUB 704 404% 67% 15,162 (52%)
Ultra 10-Year Note OTN 617 N/A 82% 16,971 (7%)
Fed Fund options OZQ 855 -49% 14% 18,715 (76%)

*Open Interest as of 09/30/16

Trends & Highlights

  • For a third consecutive month, a record 73% of Treasury options traded electronically on CME Globex
  • Eurodollar options month-end open interest is over 31M contracts, with 72% held in quarterlies & serials
  • Ultra 10 options traded 13K contracts in September with open interest growing to 16.9K

EQUITY INDEX OPTIONS

Most Active Equity Index Options – September 2016

  Symbol ADV % YoY Open Interest (% Puts)*
E-mini S&P 500 options   692,496 27% 3,999,667 (66%)
Quarterlies ES 215,246 -32% 1,208,345 (62%)
Weekly EW1 - EW4 360,364 100% 2,159,187 (68%)
End-of-Month EW 116,887 128% 600,012 (62%)
S&P 500 options   46,782 8% 524,477 (55%)
Quarterlies SP 9,804 -70% 65,472 (38%)
Weekly EV1 - EV4 25,910 447% 396,786 (60%)
End-of-Month EV 11,068 99% 40,381 (42%)
E-mini NASDAQ-100 options   10,806 193% 54,689 (59%)
Quarterlies and Serials NQ 2,949 5% 11,673 (57%)
Weekly QN1 - QN4 5,421 658% 41,525 (60%)
End-of-Month QNE 2,437 1,245% 1,491 (71%)
E-mini Dow ($5) options YM 258 -58% 7,953 (71%)

*Open Interest as of 09/30/16

Trends & Highlights

  • Nearly 50,000 Wednesday Weekly options traded in first 5 trading days
  • Over 750,000 Equity Index options traded daily in September (+26% YoY), the highest monthly ADV since August 2015.

ENERGY OPTIONS

Most Active Energy Options – September 2016

  Symbol Settlement ADV % YoY % Electronic Open Interest (Puts)*
Crude Oil options     206,373 23% 73% 4,612,388 (44%)
WTI Crude Oil LO Physical 183,359 23% 80% 3,041,440 (40%)
WTI 1 Month CSO WA Physical 14,799 97% 20% 703,290 (48%)
WTI 1 Month CSO 7A Financial 3,211 -61% 0% 356,870 (73%)
WTI Average Price options AO Financial 1,626 10% 0% 269,790 (48%)
Brent Futures-Style option BZO Financial 1,298 N/A 25% 60,505 (34%)
WTI Crude Weekly options LO1-LO5 Physical 1,193 168% 99% 1,031 (59%)
WTI-Brent Spread option BV Financial 388 -69% 0% 23,480 (78%)
Natural Gas options     105,185 40% 36% 2,592,107 (37%)
Natural Gas European options LN Financial 90,721 49% 31% 2,410,274 (36%)
Natural Gas options ON Physical 9,858 -20% 96% 119,079 (51%)
Natural Gas 3 Month CSO G3 Financial 2,525 566% 0% 250 (0%)
Natural Gas Daily options KD Financial 1,393 67% 0% N/A
Refined Product options     3,416 4% 18% 143,227 (23%)
NY Harbor ULSD OH Physical 1,732 -8% 12% 67,022 (28%)
RBOB Gasoline OB Physical 1,424 77% 28% 25,748 (36%)

*Open Interest as of 09/30/16

Trends & Highlights

  • A record 80% of WTI Crude Oil options (LO) traded electronically
  • Financial Natural Gas Options (LN) average daily screen volume was 28,181, +615% YoY
    • A record 76,435 LN options were traded on screen on 9/22
    • 65% of LN screen volume has been executed as a spread in 2016
  • Over 25% of Brent Futures-Style options (BZO) traded on screen in September
    • Open interest climbed to over 60,000 contracts.

AGRICULTURAL OPTIONS

Most Active Ag Options – September 2016

  Symbol ADV % YoY % Electronic Open Interest (% Puts)*
Corn OZC 63,011 -27% 69% 1,282,816 (45%)
Soybean OZS 53,841 -19% 78% 807,789 (47%)
SRW Wheat OZW 18,400 -9% 76% 276,093 (46%)
Live Cattle LE 15,767 -26% 76% 250,481 (49%)
Lean Hogs HE 14,923 49% 81% 212,228 (55%)
Soybean Oil OZL 7,463 13% 49% 127,649 (48%)
Soybean Meal OZM 6,217 -42% 68% 155,389 (50%)
Class III Milk DC 2,051 142% 56% 85,267 (54%)
Feeder Cattle GF 1,821 -10% 83% 29,561 (55%)
Weekly Soybean ZS1-5 1,290 21% 55% 3,684 (72%)
Weekly Corn ZC1-5 1,117 -3% 37% 824 (82%)
KC HRW Wheat OKE 820 21% 58% 35,721 (36%)

*Open Interest as of 09/30/16

Trends & Highlights

  • EU Wheat options now trading: 242 lots traded in September
  • Despite the low volatility, low price environment, Class III Milk ADV jumped 142% as seasonal hedge activity increased
  • Weekly soybean options volume increased 21% to nearly 1,300 contracts per day

FX OPTIONS

Most Active FX Options – September 2016

  Symbol ADV % YoY Open Interest (*Puts)
EUR/USD 6E 22,615 -31% 230,994 (50%)
JPY/USD 6J 12,520 -10% 138,618 (55%)
GBP/USD 6B 8,970 6% 110,695 (50%)
AUD/USD 6A 7,463 6% 85,042 (60%)
CAD/USD 6C 6,406 23% 67,051 (54%)
MXN/USD 6M 392 970% 6,849 (33%)
CHF/USD 6S 259 -28% 6,421 (47%)

*Open Interest as of 09/30/16

Trends & Highlights

  • Mexican Peso options ADV is +970% YoY
  • GBP, AUD, and CAD options volume all saw YoY ADV growth
  • Volatility-Quoted FX Options coming October 24 – Learn more

METALS OPTIONS

Most Active Metals Options – August 2016

Option Product Symbol ADV % YoY % Electronic Open Interest (% Puts)
Gold OG 30,619 14% 74% 1,078,478 (31%)
Silver SO 6,435 73% 89% 131,919 (34%)
Platinum PO 275 33% 20% 5,417 (39%)
Iron Ore ICT 264 362% 0% 31,929 (57%)
Copper HX 190 94% 77% 3,702 (53%)
Gold Weeklies OG1-OG5 178 91% 86% 488 (25%)
Palladium PAO 131 -15% 10% 4,139 (70%)

*Open Interest as of 09/30/16

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

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Report Legend

YoY – Compares current period 2016 to same period 2015
MoM – Compares Sep 2016 to Aug 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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