May Agricultural Options Update

Ag Option Product Suite

Monthly Highlights

  • Corn implied volatility saw a dramatic increase throughout May leading to a record single-day volume record May 21 ( 441K contracts), record monthly ADV ( 217K) and record Weekly options activity
  • Lean Hog short options reached record open interest in May for producers based on CFTC Commitment of Traders report
  • 48% of the volume on CME Globex was a spread, resulting in spread ADV of173K. The Grain & Oilseed complex averaged 58K verticals a day in May
  • 18% of Globex Grain & Oilseed options were traded during non-U.S. hours for the month of May
Option Product Apr ADV Year/Year % Change
Corn 244,538 117%
Soybean 89,589 4%
Chicago SRW Wheat 38,033 -10%
Hogs 16,733 132%
Live Cattle 11,946 -14%
Short-Dated New Crop Option 11,729 61%
Soybean Meal 11,293 -28%
Ag Weekly Option 9,974 121%
Soybean Oil 6,521 37%
KC HRW Wheat 5,962 53%

Corn Implied Volatility and Skew Dramatically Increase

  • In May, the July Implied volatility went from a low of 22% to a high of 40%
  • The 15 delta skew (call- put) went from calls trading 5% above puts to 13%

Lean Hog Producers Hit All-Time Net Short for Options

Weekly Options Record Activity

Average Daily Volume over 25K during Non-Us Hours for Grain & Oilseed Options

Contact Information

Steven A Stasys
Senior Director, Agricultural Options

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Agricultural Options Update

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