Re-Visiting Cme Grains Markets

By Craig Bewick
SEP 14 2021

US Equity prices fell again today with the Dow Jones Industrials giving up nearly 300 points.  And while US Treasury prices rose, in what seemed to be a bit of “flight to quality” trade, there did not seem to be panic selling.  While implied volatility in CME Group’s Equity Index options markets rose, it is still trading below Friday’s closing level.  Similarly, implied volatility in the 30-Year Treasury options at CME rose, but remains below a one-standard deviation move relative to the last three months. 

This past summer, we wrote extensively about CME Group grains prices as we were seeing multi-year high price levels.  We thought it was a good time to check back in on those markets to look at the current conditions.  Using QuikStrike, we looked at price and volatility (in a format that should be familiar to regular In FOCUS readers) in the November Corn contract both now and versus this time of year in the years since 2015.  As you can see in the bright green line in the QuikStrike graph below, only in 2015 was November implied volatility as high with about 38 days until expiration is it is right now.  Further, the lower portion of the graph illustrates nicely just how high the price currently is relative to the years from 2015 and 2020.  So, even as the price and volatility has come off of the highs we saw earlier this year, both remain elevated versus recent history. 

ABOUT THE AUTHOR

Craig Bewick has spent 25 years in futures and options markets, starting at CBOT and CME working in risk management, regulatory, technology, product management and client development. 

Connect with Craig at activetrader@cmegroup.com

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