April Options Review

Reviews by asset class

Interest Rates | Equity Index | Energy | Agricultural | FX | Metals

April by asset class

Asset class ADV ADV YoY % Globex Open interest OI % Puts OI YoY
Total Options 3,301,954 -2% 91% 73,566,323 54% -6%
Interest Rates 2,061,164 -12% 93% 56,637,173 55% -9%
Equity Index 603,211 +33% 97% 4,071,558 63% -2%
Energy 337,523 +39% 62% 7,355,218 46% +22%
Agricultural 209,351 -8% 99% 3,092,542 48% -2%
Metals 59,171 +15% 78% 1,715,249 30% +7%
FX 31,533 -46% 99% 694,583 50% 0%

Interest rate options

  Symbol ADV ADV YoY % Globex Open interest OI % Puts OI YoY
Eurodollars GE 1,509,142 +6% 91% 50,119,966 55% -10%
2-Year Note ZT 15,951 -22% 100% 512,968 61% +18%
5-Year Note ZF 142,972 -33% 100% 2,159,299 60% +3%
10-Year Note ZN 328,375 -41% 98% 3,151,024 58% -5%
T-Bond ZB 64,665 -43% 99% 663,232 62% -38%

Realized and implied volatilities for 10-Year Note options have converged, demonstrating a return to normalcy for Treasury options. With Treasury net issuance expected to increase significantly over the next two quarters, Treasury options should be well suited to serve market participants’ increased hedging and risk management needs.

Source: QuikStrike

Equity index options

  Symbol ADV ADV YoY Open Interest OI % Puts OI YoY
E-mini S&P 500 options ES 575,228 +38% 3,774,045 63% -2%
S&P 500 options SP 16,856 -41% 174,680 77% -27%
E-mini NASDAQ-100 options NQ 9,378 +16% 99,505 60% +55%
E-mini Russell 2000 options RTO 1,632 -18% 20,881 63% -26%
E-mini Dow ($5) options YM 99 -21% 2,153 65% -34%
Bitcoin options BTC 18 N/A 294 31% N/A

Equity market volatility has retreated from recent highs but remains elevated, leading to strong trading in options.

Source: QuikStrike

Energy options

  Symbol Settlement ADV ADV YoY % Globex Open Interest OI % Puts OI YoY
Crude Oil options     191,953 +11% 66% 4,583,871 50% +7%
WTI Crude Oil LO Physical 156,587 +18% 78% 2,941,758 45% +7%
WTI 1 Month CSO Physical WA Physical 11,803 -22% 4% 556,097 65% -7%
WTI 1 Month CSO Financial 7A Financial 6,842 +29% 0% 285,770 54% +91%
WTI-Brent Spread BV Financial 3,569 +62% 2% 191,980 69% +66%
WTI Weeklies LO1-5 Physical 3,269 -22% 99% 3,978 62% -64%
WTI Average Price AAO Financial 2,481 -36% 0% 408,026 56% +5%
Brent Futures-Style BZO Financial 2,203 -52% 11% 68,645 39% -50%
Natural Gas options     144,216 +114% 59% 2,697,868 41% +69%
Natural Gas European LN Financial 132,710 +127% 59% 2,410,102 41% +65%
Natural Gas American ON Physical 6,099 +5% 98% 76,618 44% +21%
Natural Gas 1 Month CSO G4 Financial 2,624 +359% 0% 82,100 49% +738%
Natural Gas 3 Month CSO G3 Financial 1,597 +31% 0% 77,910 31% +242%
Refined Product options     1,223 -53% 18% 59,785 22% -36%
NY Harbor ULSD OH Physical 581 -39% 19% 31,763 19% -40%
RBOB Gasoline OB Physical 571 -64% 19% 11,698 26% -53%

WTI Crude Oil options (LO) 30-day ATM implied volatility has come off its historic highs but remains elevated.

Source: QuikStrike

Natural Gas options (LN) 30-day ATM volatility remains near the highest levels since the end of 2018.

Source: QuikStrike

Agricultural options

  Symbol ADV ADV YoY % Globex Open Interest OI % Puts OI YoY
Corn OZC 77,085 -19% 98% 953,501 46% -16%
Soybean OZS 38,939 -21% 99% 584,120 44% +19%
Chicago SRW Wheat OZW 29,939 +29% 100% 357,733 49% +7%
Lean Hogs HE 15,137 -26% 100% 253,397 50% -36%
Live Cattle LE 11,218 -1% 100% 199,666 50% +1%
Soybean Meal OZM 10,230 +44% 99% 136,786 48% +36%
Soybean Oil OZL 6,840 +38% 94% 125,060 48% +107%
KC HRW Wheat OKE 5,065 +76% 99% 70,995 42% -1%
Short-Dated New Crop Multi 4,536 -13% 100% 117,386 48% +6%
Class III Milk DC 3,151 +55% 100% 73,822 52% -5%
Weekly Corn ZC1-5 3,055 +45% 100% 14,632 22% +82%
Feeder Cattle GF 1,177 -29% 100% 33,192 53% +18%
Cash Settled Cheese CSC 638 +40% 100% 31,403 55% -8%
Weekly Soybeans ZS1-5 537 +2% 100% 4,700 57% +64%
Nonfat Dry Milk GNF 434 +44% 90% 27,086 60% +15%
Class IV Milk GDK 323 +37% 100% 15,482 52% +11%
Grain Calendar Spread options Multi 293 -41% 92% 52,916 69% +49%
Rough Rice options   156 +120% 98% 2,997 35% +209%

This past month July Corn 25-delta puts trade at a premium to calls, a first looking back to 2007. This is with July Corn futures down 6% on the month, and implied volatility sitting around 26% compared to a 13-year average of 30%.

Source: QuikStrike

The Wheat complex was active in the options market in April. The below chart shows the implied volatility relationship between July HRW vs. SRW in the blue line. The grey line shows the July HRW-SRW futures spread rallying throughout April.

Dairy options posted an all-time volume record driven primarily by Class III Milk options, with the May $11 put and June $10 put being the most active options.

FX options

  Symbol ADV ADV YoY % Globex Open interest OI % Puts OI YoY
EUR/USD EUU 12,050 -56% 100% 265,022 54% -8%
JPY/USD JPU 7,766 -31% 97% 141,382 43% -1%
AUD/USD ADU 4,211 -17% 100% 96,994 41% 59%
CAD/USD CAU 3,749 -34% 100% 71,136 58% 9%
GBP/USD GPU 3,645 -57% 100% 106,530 53% -20%
CHF/USD CHU 99 -47% 100% 5,908 57% 34%

Metals options

  Symbol ADV ADV YoY % Globex Open interest OI % Puts OI YoY
Gold OG 45,570 +19% 78% 1,517,795 29% +16%
Silver SO 6,230 +26% 85% 133,572 36% -41%
Gold Weeklies OG1-5 5,245 +24% 95% 16,688 51% -4%
Copper HX 1,822 -45% 25% 29,000 27% -23%
Silver Weeklies SO1-5 144 -31% 94% 1,312 43% -19%
Platinum PO 107 -47% 3% 7,440 32% +16%

Gold options continue this month’s common theme: volatility is off the recent highs but remains elevated, which is driving healthy trading and risk management activity in options.

Source: QuikStrike

Open Interest as of 4/30/20, unless otherwise specified
YoY – Compares current period 2020 to same period 2019
MoM – Compares current month 2020 to previous month 2020

Futures and options trading is not suitable for all investors, and involves the risk of loss. Futures are a leveraged investment, and because only a percentage of a contract’s value is required to trade, it is possible to lose more than the amount of money deposited for a futures position. Therefore, traders should only use funds that they can afford to lose without affecting their lifestyles. And only a portion of those funds should be devoted to any one trade because they cannot expect to profit on every trade. All references to options refer to options on futures.

CME Group is a trademark of CME Group Inc. The Globe logo, CME, E-mini and Globex are trademarks of Chicago Mercantile Exchange Inc. CBOT is a trademark of the Board of Trade of the City of Chicago, Inc. NYMEX and ClearPort are trademarks of New York Mercantile Exchange, Inc. COMEX is a trademark of Commodity Exchange, Inc. S&P® 500 and S&P MidCap 400™ are trademarks of The McGraw-Hill Companies, Inc., and have been licensed for use by Chicago Mercantile Exchange Inc. NASDAQ-100 is a trademark of The Nasdaq Stock Market, used under license. Dow Jones is a trademark of Dow Jones & Company, Inc. and used here under license. Russell 2000® is a trademark and service mark of the Frank Russell Company, used under license. All other trademarks are the property of their respective owners.

The information within this document has been compiled by CME Group for general purposes only and has not taken into account the specific situations of any recipients of the information. CME Group assumes no responsibility for any errors or omissions. The information in this brochure should not be considered investment advice. All matters pertaining to rules and specifications herein are made subject to and are superseded by official CME, CBOT and NYMEX rules. Current CME/CBOT/NYMEX rules should be consulted in all cases before taking any action.

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