January Agricultural Options Update

Ag Option Product Suite

Monthly Highlights

  • March Corn exhibited a 17.5 cent trading range throughout January, with implied volatility staying at muted levels.
  • March Soybean Oil futures dropped over 15% with market participants ramping up option activity, specifically during non-US hours with 10% of option volume occurring before the US open
  • Wheat options showed strong activity as Chicago Wheat hit a new five-year high on January 22, and the KC-Chicago spread tested lows.
  • Feb Lean Hogs fell 18% in January, with implied volatility ranging from 32% to 42%.
Option Product Jan ADV Year/Year % Change
Corn 73,681 18%
Soybean 53,242 15%
Chicago SRW Wheat 28,554 6%
Hogs 18,543 54%
Soybean Oil 12,946 137%
Live Cattle 10,540 35%
Soybean Meal 8,644 12%
Ag Weekly Option 5,470 -8%
KC HRW Wheat 5,223 76%
Short-Dated New Crop Option 2,609 16%
Class III Milk 1,823 -18%
Feeder Cattle 1,381 12%
Calendar Spread Option 750 107%

March Corn trading in a 17.5 cent range in January with implied volatility trading between 14% and 18%. Historical volatility hits 22% in January

Soybean Oil – Historical Volatility vs. Implied Volatility

April Lean Hog Futures and Implied Volatility

Contact Information

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

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Agricultural Options Update

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