Options Review: H1 2020

H1 2020 highlights

  • More than 4 million options contracts traded daily in the first half of 2020
  • Options liquidity continues to deepen during overnight hours. In H1, options volume during Asian Trading Hours rose 42% YoY, while volumes during European Trading Hours rose 9% YoY.
  • Unprecedented volatility drove numerous trading record in Q1 (Read our Q1 report)

H1 2020 by asset class

Asset Class

H1 ADV

ADV YoY

% Globex

Open Interest

Total Options

4,114,606

-4%

77%

56,548,905

Interest Rates

2,633,714

-13%

70%

42,021,203

Equity Index

823,018

+33%

97%

3,225,466

Energy

311,838

+29%

63%

6,399,165

Agricultural

216,795

-27%

94%

2,915,089

Metals

81,798

+17%

79%

1,342,812

FX

47,444

-14%

99%

645,170

Open interest as of June 30, 2020

H1 2020 most actively traded options

Product

Product Group

Primary Symbol

H1 ADV

% YoY

Globex %

Open Interest

Eurodollars

Interest Rates

GE

1,679,621

-15%

60%

38,015,162

E-mini S&P 500

Equity Index

ES

781,776

37%

100%

2,982,597

10-Year Note

Interest Rates

OZN

623,541

-3%

87%

2,220,660

5-Year Note

Interest Rates

OZF

187,954

-18%

88%

1,099,707

WTI Crude Oil

Energy

LO

172,871

12%

72%

3,312,390

Natural Gas

Energy

LN

131,646

69%

53%

2,760,984

T-Bond

Interest Rates

OZB

127,359

-5%

90%

541,485

Corn

Agriculture

OZC

81,392

-45%

94%

1,179,170

Gold

Metals

OG

69,556

17%

78%

1,218,634

Soybeans

Agriculture

OZS

48,408

-20%

95%

578,744

Chicago SRW Wheat

Agriculture

OZW

30,986

-13%

94%

266,838

Standard S&P 500

Equity Index

SP

22,204

-33%

1%

134,638

EUR/USD

FX

EUU

21,158

-19%

99%

276,500

E-mini NASDAQ-100

Equity Index

NQ

15,760

58%

100%

78,811

2-Year Note

Interest Rates

OZT

14,912

-39%

85%

143,626

Lean Hogs

Agriculture

HE

14,711

-18%

98%

199,965

Live Cattle

Agriculture

LE

12,429

24%

96%

190,972

JPY/USD

FX

JPU

10,557

3%

98%

120,356

Soybean Meal

Agriculture

OZM

9,788

23%

92%

127,214

Silver

Metals

SO

9,466

42%

90%

102,088

Soybean Oil

Agriculture

OZL

8,579

58%

86%

85,922

AUD/USD

FX

ADU

5,479

9%

99%

66,057

GBP/USD

FX

GPU

5,467

-36%

98%

101,247

KC HRW Wheat

Agriculture

OKE

4,642

0%

93%

46,337

Brent Crude Oil

Energy

BZO

4,576

-40%

19%

151,355

CAD/USD

FX

CAU

4,430

-14%

100%

73,509

E-mini Russell 2000 options

Equity Index

RTO

2,976

47%

100%

24,320

Class III Milk

Agriculture

DC

2,555

41%

99%

106,648

Copper

Metals

HX

2,466

-18%

64%

12,621

Data as of June 30, 2020 and reflects all expires in a given product (10-Year note data includes Quarterly/Serial and Friday and Wednesday Weeklies)

H1 2020 news and highlights

  • Rates
    • Eurodollar options remained the most actively traded options product, averaging nearly 1.7M contracts/day in H1
    • Treasury options averaged over 953K contracts/day in H1
    • Use of Committed Cross in Eurodollar options has grown significantly. On July 27, CME Group will implement enhancements to committed cross for Interest rate options, including an enhanced Better Price and Volume match and an increase in the BPVM percentage to 45% from 35% (View SER for details)
    • Options on 1-Month and 3-Month SOFR futures launched and have seen active quoting and 800+ contracts traded.
  • Equities
    • Sustained volatility in equity markets drove a 33% rise in Equity options trading volumes in H1
    • E-mini S&P 500 options volumes rose 37% YoY and were the second most actively traded product
    • E-mini Nasdaq-100 options +33% YoY, E-mini Russell 2000 options +47% YoY
    • Bitcoin options continue to see growing volumes
  • Energy
    • A record 20% of WTI options (LO) volume has traded outside of US hours in 2020, up from 16% in 2019
    • Natural Gas financial options (LN) volume is up 70% YTD with an ADV of 117,000
    • WTI Calendar Spread Options volume is up 15% YTD with an ADV of 16,000
    • Nat Gas Calendar Spread Options volume is up 167% YTD with an ADV of over 7,000
    • A record 55% of total Energy options on-screen volume has traded as an RFQ strategy YTD, up from the 2019 record of 52%
  • Agriculture
    • The Dairy complex has experienced unprecedented volatility and price action recently, with open interest hitting record highs. Block Cheese options were launched on January 13, adding a seventh option product to the complex and have quickly built up close to 4,000 contracts of OI. Class III Milk options hit multiple volume records throughout June, the largest occurring on June 26 with 16,341 contracts changing hands.
    • June implied volatility for Soybeans and Soybean meal are at historical lows, looking back to 2007. This also marks the second time implied volatility of Soybean Oil is higher than Soybeans and Soybean Meal.
    • August Lean Hogs is at a historical high implied volatility due to ongoing African Swine Flu (ASF) and Covid-19 concerns.
  • Metals
    • Gold options volumes rose 14% YoY, led by deepening liquidity in weekly Gold options which saw a 47% jump in trading activity
    • Silver options volume jumped 39% YoY
  • FX
    • Since launched in February, Monday weekly FX options have traded over 86K contracts. Monthly ADV reached a new high of 1,500 contracts/day in June, with open interest hitting 18.6K contracts on June 12.
    • NEW ‘Big Ticket’ discounts: Trading FX Options at CME Group has never been more capital-efficient with a new 50% fee reduction on all large trades (250 contracts for G6) however executed – Globex, Block or Pit. View the details
    • Read: FX options – A capital-efficient, Low-cost proxy for OTC options

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