December 2020 Agricultural Options Update

• The Ag option market had a strong end of the year with volume up 62% across the complex lead by Corn, Soybeans, and Soybean Oil as the market rallied.
• The Dairy option complex set volume and open interest records in 2020 with unprecedented volatility throughout the year.
• Soybean Oil set a volume record in 2020 and the second highest average open interest on record with 30-day implied volatility ranging between 15% to 35%.

Source: CME Group

Class III Milk – Class III Milk has sustained substantially higher levels of volatility throughout 2020. From 2007 to 2019, the average 60-day constant maturity volatility was 16%. In 2020, 60-day implied vol in Class III milk averaged 27%.

Implied Volatility Ranges – Looking at 30-day constant maturity volatility in 2020, Soybean Meal had the highest mark and widest range with a high of 37% and low of 10%. Soybean Oil had the third highest range of implied volatility in 2020 with a low of 15% and a high of 35%.

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