January Options Review

Reviews by Asset Class

Overview

Asset Class

ADV

% YoY

% Globex

Month-End OI

OI % YoY

Total Options

3,973,214

-12%

61%

69,290,730

5%

Interest Rates

2,722,676

0%

50%

53,467,071

11%

Equity Index

665,788

-30%

93%

4,230,696

-25%

Energy

279,884

-37%

64%

6,425,361

-10%

Agricultural

186,146

-20%

82%

2,991,749

-6%

Metals

61,635

9%

73%

1,514,474

33%

FX

57,085

-43%

98%

661,379

-29%

Trends & Highlights

  • Month-end open interest of 69M contracts represents a 5% increase YoY– a 49th consecutive month of YoY growth
  • While ADV of 3.9M is down 12% compared to a very strong January 2018, it’s in line with 2018 full year ADV
  • Volume in Interest Rate options remained strong and open interest was +11% YoY
  • Metals volumes increased 9% YoY, while open interest increased 33%

Interest Rate Options

 

Symbol

ADV

% YoY

% Globex

Month-End OI

OI % Puts

Eurodollar options

 

1,764,019

-2%

32%

47,472,364

61%

Eurodollars (Quarterly/Serial)

GE

1,024,208

27%

26%

32,038,807

61%

1-Year Mid-Curve

GE0

481,059

-6%

38%

9,164,654

64%

2-Year Mid-Curve

GE2

172,112

-46%

47%

3,897,614

59%

3-Year Mid-Curve

GE3

82,168

-44%

43%

2,229,148

50%

4-Year Mid-Curve

GE4

505

-94%

13%

110,291

6%

10-Year Note

 

636,839

1%

82%

3,071,016

48%

Quarterly/Serial

OZN

495,312

-6%

83%

2,628,691

49%

Friday Weekly

ZN1-5

125,283

33%

80%

413,509

46%

Wednesday Weekly

WY1-5

16,244

40%

83%

28,816

58%

5-Year Note

 

186,557

23%

85%

1,775,387

73%

Quarterly/Serial

OZF

161,424

26%

85%

1,682,319

74%

Friday Weekly

ZF1-5

21,821

2%

84%

84,227

55%

Wednesday Weekly

WF1-5

3,590

29%

93%

8,841

76%

T-Bond

 

120,187

-16%

89%

948,400

49%

Quarterly/Serial

OZB

95,080

-17%

89%

831,121

47%

Friday Weekly

ZB1-5

22,660

-7%

87%

113,632

66%

Wednesday Weekly

WB1-5

2,448

-44%

96%

3,647

34%

2-Year Note

OZT

13,590

1%

61%

143,464

65%

Ultra T-Bond

OUB

1,148

550%

14%

54,252

96%

Trends & Highlights

  • Treasury options volume remains strong with 958K contracts/day, led by 21% growth in weekly options
  • 5-Year Note options had the strongest growth, +23% YoY
  • Term Mid-Curves (3-,6-,9-month Mid-Curves on Whites) averaged 3.5K contracts/day, their strongest month since launching in June 2018

Equity Index Options

 

Symbol

ADV

% YoY

Month-End OI

OI % Puts

E-mini S&P 500 options

 

605,252

-28%

3,899,459

66%

Quarterlies

ES

114,344

-34%

2,009,170

64%

Monday Weekly

E1A-E5A

34,461

-20%

35,963

63%

Wednesday Weekly

E1C-E5C

52,144

22%

26,957

73%

Friday Weekly

EW1-EW4

313,199

-28%

1,218,488

72%

End-of-Month

EW

91,103

-40%

608,881

61%

S&P 500 options

 

46,223

-47%

234,665

66%

Quarterlies

SP

2,649

-73%

57,618

52%

Monday Weekly

S1A-S5A

6,685

150%

16,172

93%

Wednesday Weekly

S1C-S5C

4,653

81%

7,645

100%

Friday Weekly

EV1-EV4

25,139

-53%

129,522

66%

End-of-Month

EV

7,098

-60%

23,708

66%

E-mini NASDAQ-100 options

 

13,194

-21%

78,060

61%

Quarterlies

NQ

2,631

-13%

33,778

58%

Weekly

QN1-QN4

9,867

-25%

41,259

65%

End-of-Month

QNE

696

53%

3,023

47%

E-mini Russell 2000 options

RTO

770

-64%

10,535

56%

E-mini Dow ($5) options

YM

349

-26%

7,977

59%

Trends & Highlights

  • Monday and Wednesday S&P 500 weekly options (Standard and E-mini) averaged over 98K contracts/day, representing 15% of total S&P 500 options volume

Energy Options

 

Symbol

Settlement

ADV

% YoY

% Globex

Month-End OI

OI % Puts

Crude Oil options

 

 

153,097

-28%

67%

4,213,926

50%

WTI Crude Oil

LO

Physical

118,514

-35%

82%

2,734,644

45%

WTI 1 Month CSO

WA

Physical

16,181

45%

1%

562,250

72%

Brent Futures-Style

BZO

Financial

4,941

9%

58%

150,767

37%

WTI-Brent Spread

BV

Financial

4,103

-19%

10%

131,720

62%

WTI 1 Month CSO

7A

Financial

2,879

-21%

0%

154,300

62%

WTI Weeklies

LO1-5

Physical

2,495

-14%

99%

9,109

51%

Brent European

BE

Financial

2,121

8810%

0%

85,517

57%

WTI Average Price

AAO

Financial

772

-74%

0%

292,607

51%

Brent 1 Month CSO

9C

Financial

714

N/A

0%

33,000

11%

Natural Gas options

 

 

124,410

-46%

60%

2,093,208

48%

Natural Gas European

LN

Financial

109,045

-46%

60%

1,843,721

48%

Natural Gas American

ON

Physical

8,726

-55%

95%

114,538

40%

Natural Gas 1-Month CSO

G3

Financial

5,500

-21%

1%

99,839

57%

Refined Product options

 

 

2,068

-14%

14%

91,957

25%

NY Harbor ULSD

OH

Physical

1,479

-6%

10%

60,318

27%

RBOB Gasoline

OB

Physical

390

-46%

35%

9,637

22%

Trends & Highlights

  • WTI 1-Month Calendar Spread options averaged 19K contracts/day, +29% YoY. Open interest increased 17% YoY to over 716K contracts
  • Aggregate Brent options averaged 7.7K contracts/day, +70% YoY
  • Electronic liquidity remains strong in Natural Gas options, with over 60% of volume traded on CME Globex

Agricultural Options

 

Symbol

ADV

% YoY

% Globex

Month-End OI

OI % Puts

Soybean

OZS

62,211

-18%

80%

1,046,641

37%

Corn

OZC

46,453

-25%

84%

535,225

53%

SRW Wheat

OZW

27,011

-35%

81%

381,681

38%

Lean Hogs

HE

12,004

75%

87%

229,815

52%

Live Cattle

LE

7,781

-37%

89%

179,874

55%

Soybean Meal

OZM

7,749

-40%

73%

131,809

44%

Soybean Oil

OZL

5,469

-5%

85%

83,940

52%

Weekly Corn

ZC1-5

4,955

120%

79%

25,927

26%

KC HRW Wheat

OKE

2,972

-24%

68%

90,118

33%

Short-Dated New Crop

OCD, OSD

2,255

0%

68%

58,348

46%

Class III Milk

DC

2,208

45%

94%

71,830

55%

Feeder Cattle

GF

1,234

-31%

98%

34,616

53%

Non-Fat Dry Milk

GNF

800

329%

92%

21,029

49%

Cash-Settled Cheese

CSC

676

-22%

78%

33,609

41%

Weekly Soybeans

ZS1-5

614

-63%

94%

4,115

71%

Weekly Wheat

ZW1-5

356

92%

99%

3,952

51%

Trends & Highlights

  • Lean Hog options were active with movement across the implied vol term structure
  • Dairy options set a new ADV record of 4.3K contracts/day, driven by Class III Milk and Non-Fat Dry Milk
  • Weekly options set the third high highest ADV on record with 5.9K contracts/day

FX Options

 

Symbol

ADV

% YoY

% Globex

Month-End OI

OI % Puts

EUR/USD

EUU

26,828

-50%

98%

239,176

51%

GBP/USD

GPU

11,219

-26%

95%

167,249

44%

JPY/USD

JPU

8,768

-36%

100%

107,300

43%

AUD/USD

ADU

5,065

-37%

99%

71,565

46%

CAD/USD

CAU

5,019

-45%

99%

70,047

52%

CHF/USD

CHU

95

-32%

100%

2,222

65%

MXN/USD

6M

67

34%

79%

2,595

66%

NZD/USD

6N

23

N/A

100%

1,195

63%


Metals Options

 

Symbol

ADV

% YoY

% Globex

Month-End OI

OI % Puts

Gold

OG

48,933

7%

72%

1,207,500

33%

Silver

SO

7,533

0%

77%

253,249

40%

Copper

HX

2,406

152%

70%

34,268

39%

Gold Weeklies

OG1-5

2,355

21%

96%

9,870

50%

Platinum

PO

203

-9%

18%

6,358

25%

Silver Weeklies

SO1-5

135

2976%

93%

1,225

57%

Palladium

PAO

63

-59%

57%

1,442

81%

Trends & Highlights

  • Copper options averaged a record 2.4K contracts/day, +152% YoY, while open interest is near all-time highs
  • Weekly Gold options (OG1-5) averaged 2.3K contracts/day, +21% YoY – a 35th consecutive month of YoY growth
  • Weekly Silver options continue to gain traction with improved liquidity on screen

Report Legend

Open Interest as of 1/31/19, unless otherwise specified
YoY – Compares current period 2019 to same period 2018, MoM – Compares current month 2019 to previous month 2018

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