February Agricultural Options Update

Ag Option Product Suite

Monthly Highlights

  • 2020 April Lean Hogs implied volatility and put skew matching or beating last year volatility levels.
  • Live Cattle futures down 11% on the month, with April implied vol approaching 40% and 25 delta puts trading at a 5% vol premium vs 25 delta calls.
  • 15% of Chicago Wheat and Soybeans option activity happened during non-US hours in February.
  • Dairy options post in ADV of 4,334 contracts, second highest mark ever, helped by the new Block Cheese option contract.
Option Product Feb ADV Year/Year % Change

Corn

57,449

-36%

Soybean

41,340

-20%

Chicago SRW Wheat

32,838

-26%

Hogs

15,370

26%

Soybean Oil

11,217

76%

Live Cattle

15,097

77%

Soybean Meal

9,173

36%

Ag Weekly Option

3,731

-58%

KC HRW Wheat

4,251

-20%

Short-Dated New Crop Option

3,114

-32%

Class III Milk

2,110

27%

Feeder Cattle

1,805

94%

Calendar Spread Option

632

-1%

Lean Hogs- April Lean hogs trading at similar volatility levels to 2019, well above historical averages given ASF concerns, US-China trade negations and Coronavirus.  

QuikVol Data powered by QuikStrike

Lean Hogs- April 25 delta put skew trading around a 5% vol premium to 25 delta calls compared to around 3% in 2019 and a 1% historical average

QuikVol Data powered by QuikStrike

Live Cattle – With 44 days until option expiration, April implied volatility is slightly higher than 2019, setting a new 13-year record

QuikVol Data powered by QuikStrike

Live Cattle- On top of the elevated volatility in April Cattle, 25 delta puts are at a historical premium compared to 25 delta calls

QuikVol Data powered by QuikStrike

Non- US Activity -  On subdued volume, Soybean and Chicago Wheat volume hit new records in terms of percent of activity occurring during non-US hours

Contact Information

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

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