August Agricultural Options Update

Ag Option Product Suite

Monthly Highlights

  • Corn and Live Cattle experienced large volatility shifts on August 12th accompanying the dramatic  price swings
  • 811 unique account numbers traded Ag weekly options in August, heavy activity occurred before and after the USDA WASDE report
  • December Corn at-the-money (ATM) implied volatility is historically low with the call skew historically high in percentage terms to the ATM implied vol

Option Product

Aug ADV

Year/Year % Change

Corn

156,074

43%

Soybean

45,613

-35%

Chicago SRW Wheat

30,197

-34%

Hogs

17,279

4%

Live Cattle

9,865

45%

Ag Weekly Option

6,036

95%

Soybean Meal

6,930

-40%

Short-Dated New Crop Option

4,873

23%

Soybean Oil

6,543

32%

KC HRW Wheat

4,976

-5%

Class III Milk

1,484

-31%

Feeder Cattle

1,640

21%

Calendar Spread Option

356

-66%

Live Cattle Implied Volatility and Skew During August

At-The- Money implied vol showing a large range in August along with the put skew increasing after the Tyson Holcomb fire on Aug 9

Corn Implied Volatility and Skew During August

At-The- Money implied vol dropping over 10% on the month along with the call skew decreasing dramatically after the Aug 12 WASDE release

December Corn At-The-Money Implied Vol at the end of August

December Corn Skew

The 25 delta call is trading 2.7 vol points over the 25 delta put which historically speaking is average, when looking at skew in percentage terms to at-the-money (ATM) vol, the 25 delta call is on the higher side trading 8.9% above the ATM

Contact Information

Steven A Stasys
Senior Director, Agricultural Options
steven.stasys@cmegroup.com
+312-648-3822

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