May 2020 Agricultural Options Update

Ag Option Product Suite

Monthly Highlights

  • August Live Cattle implied volatility hit a historic high of 37% on May 7 and then rapidly decreased with month-end volatility levels close to 20%.
  • August Live Cattle 25-delta put skew traded 10% above calls on May 11. Historically, put skew is around 2% for the month of May.
  • July Lean Hog implied volatility started the month at 62%, and then declined down to about 51%. To put these levels in context, this time last year volatility was at 36%, and historically it is typically around 20%.
  • July Lean Hog put skew is at an all-time high with the 25-delta puts trading 17% over a 25-delta call on May 6.
OPTION PRODUCT MAY ADV YEAR/YEAR % CHANGE
Corn 62,042 -73%
Soybean 39,221 -57%
Chicago Wheat 25,559 -30%
Hogs 11,204 -31%
Cattle 13,398 13%
Soybean meal 6,225 -37%
Soybean oil 5,462 -17%
KC Wheat 3,627 -28%
Milk 2,981 55%
Feeder Cattle  1,189 -42%
Cash-settled Cheese 471 18%
NFD Milk 185 -12%
NFD MILK OPTION

Live Cattle Implied Volatility  - August Live Cattle implied volatility hit a historic high of 37% on May 7, and then rapidly decreased with month-end volatility levels close to 20%.  

Live Cattle Skew - August Live Cattle 25-delta put skew traded 10% above calls on May 11. Historically, delta-put skew is around 2% for the month of May.

Lean Hog Implied Volatility - July Lean Hog implied volatility started the month at 62% and then declined down to about 51%. To put these levels in context, this time last year volatility was at 36%, and historically it is typically around 20%.

Lean Hog Skew - July Lean Hog put skew is at an all-time high with the 25-delta puts trading 17% over a 25-delta call on May 6

Contact Information

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

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