September Options Review

Reviews by Asset Class

OPTIONS COMPLEX OVERVIEW

Asset Class ADV % YoY % Globex Open Interest OI % Puts
Total Options 3,596,722 25% 66% 60,406,724 59%
Interest Rates 2,284,559 49% 56% 43,555,267 62%
Equity Index 645,270 -14% 91% 4,615,522 74%
Energy 286,982 -9% 63% 7,045,530 42%
Agricultural 218,570 16% 77% 3,150,436 47%
FX 101,102 72% 98% 863,483 53%
Metals 60,240 58% 81% 1,176,486 34%

INTEREST RATE OPTIONS

  Symbol ADV % YoY % Globex Open Interest OI % Puts
Eurodollar options   1,392,739 40% 39% 37,863,398 62%
Eurodollars (Quarterly/Serial) GE 572,440 -12% 32% 22,590,705 62%
1-Year Mid-Curve GE0 423,352 123% 42% 6,712,902 63%
2-Year Mid-Curve GE2 252,013 185% 47% 5,338,086 64%
3-Year Mid-Curve GE3 128,661 130% 43% 2,907,048 61%
4-Year Mid-Curve GE4 14,508 23% 43% 307,689 63%
Treasury options   891,685 65% 82% 5,686,268 59%
10-Year Note OZN 482,392 81% 80% 3,074,111 53%
5-Year Note OZF 106,409 39% 79% 1,249,007 74%
T-Bond OZB 104,091 26% 88% 638,256 53%
2-Year Note OZT 19,255 133% 58% 380,259 77%
Fri Weekly 10-Year ZN1-5 119,480 58% 87% 171,190 54%
Fri Weekly T-Bond ZB1-5 27,171 32% 87% 83,876 40%
Fri Weekly 5-Year ZF1-5 13,937 95% 90% 51,906 51%
Wed Weekly 10-Year WY1-5 12,681 N/A 97% 24,148 38%
Wed Weekly T-Bond WB1-5 4,017 N/A 99% 6,713 41%
Wed Weekly 5-Year WF1-5 2,002 N/A 90% 4,717 37%

Trends & Highlights

  • Treasury options ADV surged to 891K contracts/day, the second highest monthly ADV ever
  • Wednesday Weekly Treasury options ADV grew to 18.7K contracts/day, bringing cumulative volume since launched in June to over 1.2M contracts
  • 2-Year Note options remained extra active with ADV of 19.2K, +133% YoY

EQUITY INDEX OPTIONS

  Symbol ADV % YoY Open Interest OI % Puts
E-mini S&P 500 options   579,219 -17% 3,998,673 75%
Quarterlies ES 150,112 -30% 1,195,300 74%
Weekly EW1 - EW4 243,276 -32% 1,982,776 75%
Wednesday Weekly E1C-E5C 43,813 1871% 63,295 89%
Monday Weekly E1A - E5A 35,328 N/A 80,795 82%
End-of-Month EW 103,690 -11% 676,507 73%
S&P 500 options   55,497 19% 531,947 68%
Quarterlies SP 9,897 1% 56,121 42%
Weekly EV1 - EV4 28,527 11% 353,704 77%
Wednesday Weekly S1C-S5C 3,198 2325% 5,294 59%
Monday Weekly S1A - S5A 2,934 N/A 14,344 49%
End-of-Month EV 10,940 -1% 102,484 57%
E-mini NASDAQ-100 options   11,537 7% 65,175 70%
Quarterlies NQ 3,625 23% 16,302 63%
Weekly QN1 - QN4 5,323 -2% 44,991 71%
End-of-Month QNE 2,589 6% 3,882 85%
E-mini Russell 2000 options RTO 1,808 N/A 14,865 61%
E-mini Dow ($5) options YM 209 -19% 4,845 70%

Trends & Highlights

  • Daily volume continues to grow in E-mini Russell 2000 Index options, launched on July 10, 2017
    • September ADV: 1,808, +250% MoM
    • September ADOI: 12,664, +99% MoM

ENERGY OPTIONS

  Symbol Settlement ADV % YoY % Globex Open Interest OI % Puts
Crude Oil options     167,098 -19% 70% 4,657,666 45%
WTI Crude Oil LO Physical 134,499 -27% 81% 2,980,961 41%
WTI 1 Month CSO WA Physical 11,877 -20% 35% 578,334 54%
WTI Average Price AO Financial 5,624 246% 0% 369,401 54%
Brent Futures-Style BZO Financial 4,895 277% 20% 124,129 39%
WTI 1 Month CSO 7A Financial 3,288 2% 5% 285,624 70%
WTI-Brent Spread BV Financial 3,257 739% 12% 202,601 39%
WTI Weeklies LO1-5 Physical 2,586 117% 100% 4,768 55%
Natural Gas options     115,878 10% 54% 2,203,503 34%
Natural Gas European LN Financial 100,560 11% 53% 1,931,687 33%
Natural Gas American ON Physical 8,144 -17% 96% 93,900 41%
Natural Gas Daily KD Financial 2,924 110% 60% 0 N/A
Natural Gas 1 Month CSO G3 Financial 1,875 1821% 6% 134,408 42%
Refined Product options     3,212 -6% 25% 110,033 24%
RBOB Gasoline OB Physical 1,603 13% 40% 20,238 36%
NY Harbor ULSD OH Physical 1,349 -22% 12% 62,627 23%

Trends & Highlights

  • Brent Futures-Style options (BZO) ADV surged to record 4.9K contracts/day, +277% YoY
  • WTI average price options (AO) surged 246% YoY
  • Daily Natural Gas options reached record ADV of 2,924 contracts/day, with 60% traded electronically
  • Electronic Natural Gas options (LN) ADV +89% YoY to 53K contracts/day, including a single-day electronic record of 129K contracts on 9/21

Agricultural Options

  Symbol ADV % YoY % Globex Open Interest OI % Puts
Corn OZC 79,490 26% 76% 1,243,378 44%
Soybean OZS 68,892 28% 80% 673,208 47%
SRW Wheat OZW 21,574 17% 78% 328,099 47%
Lean Hogs HE 14,186 -5% 86% 209,000 59%
Live Cattle LE 9,951 -37% 81% 198,514 56%
Soybean Oil OZL 6,681 -10% 55% 78,468 48%
Soybean Meal OZM 6,305 1% 69% 108,845 47%
Weekly Corn ZC1-5 3,207 187% 66% 7,596 49%
Feeder Cattle GF 1,788 -2% 81% 31,630 58%
Class III Milk DC 1,508 -26% 75% 79,570 54%
Weekly Soybean ZS1-5 1,250 -3% 95% 2,530 45%
KC HRW Wheat OKE 977 19% 77% 47,675 36%
Cash-Settled Cheese CSC 832 138% 40% 35,491 57%

Trends & Highlights

  • December Corn & November Soybean implied vol historically low but actively trading
  • Dec Lean Hog put skew historically high
  • Weekly options, led by Corn, had their highest September ADV ever

FX OPTIONS

  Symbol ADV % YoY % Globex Open Interest OI % Puts
EUR/USD EUU 44,219 96% 99% 325,486 55%
JPY/USD JPU 18,583 48% 98% 174,179 48%
GBP/USD GPU 17,942 100% 99% 173,780 51%
CAD/USD CAU 12,685 98% 96% 104,341 55%
AUD/USD ADU 7,527 1% 98% 80,649 59%
CHF/USD CHU 141 -45% 100% 4,585 77%
MXN/USD 6M 6 -98% 83% 463 45%

Trends & Highlights

  • Open interest in FX options increased 35% YoY
  • FX Weekly options reached record ADV of 31,990 contracts/day, a seventh consecutive record month
  • Wednesday FX options are Launching on October 29 - available in Premium-Quoted and Volatility-Quoted formats

METALS OPTIONS

  Symbol ADV % YoY % Globex Open Interest OI % Puts
Gold OG 51,550 68% 80% 1,032,826 34%
Silver SO 6,500 1% 92% 109,781 32%
Copper HX 889 368% 100% 7,471 49%
Gold Weeklies OG1-5 747 320% 96% 2,388 61%
Iron Ore ICT 229 -13% 0% 18,691 47%
Palladium PAO 197 50% 39% 2,986 17%
Platinum PO 127 -54% 47% 2,343 25%

Trends & Highlights

  • Copper options continued to surge in September with ADV of 889 contracts/day, +368% YoY
  • Copper options hit 14 consecutive open interest records in September, culminating with 12.68K contracts on 9/25
  • Weekly Gold options ADV increased 320% YoY – a 19th consecutive month of YoY growth

Report Legend

Open Interest as of 09/29/17, 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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