Grain Spread Options
Calendar Spread Options
Managing the Spread Risk Between Calendar Months

Calendar Spread Options are options on the price differential between 2 contract months, rather than on the underlying asset itself. Therefore, they offer alternative hedging capabilities compared to standard options, and can provide a more precise hedge against adverse movements in price spreads in the grain and oilseed markets.

Calendar Spread Options are sensitive to the value and volatility of the spread itself, rather than the price of the underlying commodity. They are more efficient than combining options on 2 different months in an effort to replicate the spread, and provide a better risk management device for hedgers and market participants exposed to calendar spread risks.  

 

Corn Calendar Spread Options
Wheat Calendar Spread Options
Soybean Calendar Spread Options
Soybean Meal Calendar Spread Options
Soybean Oil Calendar Spread Options

Dynamic Strikes for Soybean Board Crush Spread Options and Calendar Spread Options

In response to customer demand, effective trade date Monday, September 28, 2009, Soybean Board Crush Spread Options and Calendar Spread Options on grain and oilseed products will be eligible for dynamically listed strike prices. Strike prices that conform to existing strike increments and are not already listed may be added dynamically during a trading session in order to better respond to market conditions. Strikes will be implemented the same day on the trading floor and the following business day on the Globex platform.

Contact CME Group Commodities for more information

Listing Cycles:

Corn
Consecutive*
JULY-DEC**
DEC-JULY
DEC-DEC
Wheat
Consecutive*
DEC-JULY**
JULY-DEC
JULY-JULY
Soybean
Consecutive*
JULY-NOV**
JAN-MAY
NOV-JULY
NOV-NOV
Soybean Oil
Consecutive*
JULY-DEC**
Soybean Meal
Consecutive*
JULY-DEC**

*Formerly named "Nearby"
**Formerly named "Old Crop / New Crop"


The three consecutive futures calendar spreads and the longer dated spreads will be listed at all times. When the existing longer dated spreads expire the corresponding longer dated spreads for the following year will be listed.

 

Resources
New Webinar Archive: Grain Spread Options and Volatility—Accessing Unique Trading Opportunities
Grain and Oilseed Calendar Spread Options Fact Card (PDF)
UPDATED – CSO Symbols and Strike Increments
Introduction to Calendar Spread Options
Benefits and Examples
7/6/09 SER: Expansion of CSO Listings and Strike Increment Changes



Grain and Oilseed CSOs offer:

Customization
Precise hedges geared to your exposure to temporal risk
Opportunities
Protection against adverse price moves along with access to favorable moves
Choice of venue
Trading floor or CME Globex electronic platform
Liquidity
Dedicated and active market makers on the trading floor and on CME Globex
Security
Centralized clearing and guaranteed counterparty credit

 

 

Soybean-Corn Price Ratio Options

Soybean-Corn Price Ratio options provide market participants a new tool for trading on the price relationship between corn and soybeans, and the subsequent impact on new crop planted acreage. Soybean-Corn Price Ratio options are cash-settled and traded via open outcry on the Chicago trading floor.


See Soybean Corn Price Ratio Options contract specifications
Soybean-Corn Price Ratio Options Fact Card

 

SOYBEAN-CORN PRICE RATIO OPTIONS INITIAL CONTRACT EXPIRATIONS
Option Month Mar 2011 May 2011 Jun 2011 Jul 2011 Aug 2011 Sep 2011 Oct 2011 Nov 2011 Jan 2012
Underlying Corn Mar 2011 May 2011 Dec 2011 Jul 2011 Dec 2011 Sep 2011 Dec 2011 Dec 2011 Mar 2012
Underlying Soybean Mar 2011 May 2011 Nov 2011 Jul 2011 Nov 2011 Sep 2011 Nov 2011 Nov 2011 Mar 2012
Expiration Date 2/18/11 4/21/11 5/20/11 6/24/11 7/22/11 8/26/11 9/23/11 10/21/11 12/23/11

 

Wheat-Corn Spread Options


Wheat-Corn Intercommodity Spread options provide market participants with a new alternative for trading the relationship between corn and wheat, which are closely linked by market fundamentals such as available planting acreage, demand for feed and the impact of weather.

Spreading Wheat and Corn futures allow market participants to trade the relationship between the shifting product profitability and production of corn and wheat. Listing these spreads as options provides the ability to manage risk at a fixed cost.

 


Wheat-Corn Intercommodity Spread Options Listing Cycle:
DECEMBER 2010 WHEAT – DECEMBER 2010 CORN
JULY 2011 WHEAT - JULY 2011 CORN
DECEMBER 2011 WHEAT – DECEMBER 2011 CORN
JULY 2012 WHEAT - JULY 2012 CORN


Ticker Symbols:
CME Globex: ZCW
Open Outcry and Clearing: XCW

Resources
Wheat-Corn Intercommodity Spread Rules (PDF)
Wheat-Corn Intercommodity Spread Options Vendor Codes (PDF)
Wheat-Corn Intercommodity Spread Options Contract Specifications


 

For more information, please contact:

 

Chicago Office
Susan Sutherland
Associate Director
CME Group Products and Services
312-930-2325
susan.sutherland@cmegroup.com
London Office
Jeffry Kuijpers
Associate Director
Commodity/Alt. Investment Products
011 (44) 207-796-7108
jeffry.kuijpers@cmegroup.com
Chicago Office
Brenda Tucker
Associate Director
CME Group Products and Services
312-454-8304
brenda.tucker@cmegroup.com
Singapore Office
Nelson Low
Director
Commodity Products Asia
11-656-550-9621
nelson.low@cmegroup.com

 

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