July 2020 Agricultural Options Update

Ag option product suite

Monthly highlights

  • Dec Soybean Oil rallied 8% in July with the 25-delta call skew increasing from 0.7% to 2.0% throughout the month.
  • Sep Soybean futures had a 30.5¢ range in July with the 25-delta risk reversal decreasing from 6% to flat and implied and 20-day historical volatility converging at 12%.
  • Sep Soybean Meal implied volatility is below 14%, something that has not happened in the last 14 years.
  • Aug Class III Milk experiencing a large rally in July with options open interest increasing by 45%, up 7K contacts. Aug 20 puts had the most volume, trading 1.9K contracts on the month. Implied volatility went from 37% to 17% during July.

Soybean Oil   - 25 delta calls in relation to puts, saw a dramatic increase in implied volatility throughout July as the September contract rallied throughout the month.

Source: QuikStrike

Soybeans - Soybean calls experienced the opposite situation of Soybean Oil, as the calls decreased in implied volatility as the month of July went on.

Source: QuikStrike

Soybeans - Sep implied volatility decreased from 18% to ~12%, matching the historical 20-day average volatility.

Source: QuikStrike

Soybean Meal – Sep Soybean Meal implied volatility is sitting at 14-year lows with a month left until expiration.

Source: QuikStrike

Class III Milk - Aug implied volatility significantly decreased throughout July.

Source: QuikStrike

Contact Information

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

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