February Options Review

Reviews by Asset Class

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

Options Complex Overview

February by Asset Class

Asset Class ADV ADV YoY % Globex Open Interest OI YoY
Total Options 6,110,522 73% 65% 79,301,225 7%
Interest Rates 4,294,616 77% 55% 63,133,411 6%
Equity Index 1,079,433 93% 97% 4,830,005 18%
Energy 337,031 59% 67% 6,103,772 7%
Agricultural 200,725 -17% 86% 2,588,111 -5%
Metals 125,708 145% 78% 1,846,886 27%
FX 73,009 44% 99% 799,040 16%

Interest Rate Options

  • Treasury options averaged a record 1.48M contracts/day, with outsized growth in 10s and T-Bonds
    • Open interest in T-Bond options climbed to the second highest level ever, reaching 1.53M contracts on 2/20
  • Eurodollar options ADV of 2.8M contracts was the second highest on record
  • With the majority of swaptions uncleared, Treasury options and Eurodollar options can provide significant margin, capital, and operational efficiencies to clients impacted by the expanding Uncleared Margin Rules (UMR) in September of 2020 and 2021, with inclusion based on gross notional thresholds of $50B and $8B, respectively
  Symbol ADV ADV YoY % Globex Open Interest OI YoY
Eurodollar options   2,809,744 78% 41% 55,285,912 3%
Eurodollars (Quarterly/Serial) GE 2,254,526 157% 40% 45,489,960 27%
1-Year Mid-Curve GE0 436,633 15% 46% 6,377,829 -39%
2-Year Mid-Curve GE2 85,940 -61% 53% 2,307,538 -49%
3-Year Mid-Curve GE3 32,206 -65% 54% 1,075,111 -62%
4-Year Mid-Curve GE4 430 -94% 76% 35,474 -66%
10-Year Note   1,040,371 91% 79% 4,416,242 55%
Quarterly/Serial OZN 781,692 91% 77% 3,957,728 60%
Friday Weekly ZN1-5 225,251 86% 84% 416,435 15%
Wednesday Weekly WY1-5 33,428 154% 90% 42,079 227%
5-Year Note   215,607 19% 76% 2,020,392 20%
Quarterly/Serial OZF 193,255 24% 74% 1,946,356 21%
Friday Weekly ZF1-5 17,253 -14% 93% 68,559 -1%
Wednesday Weekly WF1-5 5,099 -12% 99% 5,477 -18%
T-Bond   205,123 86% 84% 1,090,238 35%
Quarterly/Serial OZB 161,795 90% 81% 1,010,557 47%
Friday Weekly ZB1-5 34,870 58% 93% 58,707 -48%
Wednesday Weekly WB1-5 8,458 211% 98% 20,974 146%
2-Year Note OZT 22,451 66% 83% 286,061 60%
Ultra T-Bond OUB 378 -41% 5% 9,909 -32%
Ultra 10-Year Note OTN 599 22664% 0% 15,867 31634%
Fed Funds OZQ 342 3151% 60% 8,758 415%

Equity Index Options

  • Monday and Wednesday weekly E-mini S&P 500 options ADV +164% and 154% respectively
  • E-mini Nasdaq 100 options volumes surged 245% YoY to a record 27.5K contracts/day
  Symbol ADV ADV YoY Open Interest OI YoY
E-mini S&P 500 options   1,011,065 96% 4,493,141 19%
Quarterlies ES 321,720 114% 2,475,736 4%
Monday Weekly E1A-E5A 88,489 164% 228,874 426%
Wednesday Weekly E1C-E5C 111,816 154% 175,408 549%
Friday Weekly EW1-EW4 294,389 36% 1,047,936 27%
End-of-Month EW 194,651 169% 565,187 14%
S&P 500 options   36,403 12% 136,931 -36%
Quarterlies SP 4,371 36% 90,435 9%
Monday Weekly S1A-S5A 3,715 8% 7,485 178%
Wednesday Weekly S1C-S5C 6,486 110% 103 -99%
Friday Weekly EV1-EV4 12,673 -30% 31,848 -66%
End-of-Month EV 9,159 99% 7,060 -74%
E-mini NASDAQ-100 options   27,584 245% 162,192 18%
Quarterlies NQ 10,405 214% 94,466 105%
Weekly QN1-QN4 12,059 188% 56,622 344%
End-of-Month QNE 5,119 977% 11,104 222%
E-mini Russell 2000 options RTO 4,135 147% 33,990 31%
E-mini Dow ($5) options YM 213 -15% 3,250 -65%
Bitcoin options   33 N/A 502 N/A

Energy Options

  • WTI weekly options (LO1-5) saw record ADV for the third straight month bolstered by new participants and deepening liquidity
  • WTI-Brent spread options trading jumped 114% YoY to 8.5K contracts/day
  Symbol Settlement ADV ADV YoY % Globex Open Interest OI YoY
Crude Oil options     203,153 53% 74% 3,519,764 -13%
WTI Crude Oil LO Physical 161,147 50% 88% 2,099,678 -16%
WTI 1 Month CSO Physical WA Physical 11,826 59% 2% 417,100 -28%
WTI-Brent Spread BV Financial 8,518 114% 1% 227,275 51%
WTI Weeklies LO1-5 Physical 7,687 164% 99% 14,811 12%
WTI 1 Month CSO Financial 7A Financial 6,036 258% 0% 211,400 44%
Brent Futures-Style BZO Financial 3,784 -1% 49% 102,900 -41%
WTI Average Price AAO Financial 2,159 -3% 0% 369,671 24%
Brent 1 Month CSO 9C Financial 958 507% 0% 18,400 -39%
Natural Gas options     131,778 73% 56% 2,521,787 62%
Natural Gas European LN Financial 114,864 73% 57% 2,211,350 52%
Natural Gas American ON Physical 8,208 20% 99% 77,902 27%
Natural Gas 1 Month CSO G4 Financial 4,399 113% 0% 47,750 1325%
Natural Gas 3 Month CSO G3 Financial 2,059 7014% 0% 72,825 16083%
Natural Gas 6 Month CSO G6 Financial 1,384 221% 0% 71,800 278%
Refined Product options     1,887 -19% 32% 49,962 -40%
NY Harbor ULSD OH Physical 1,249 -14% 31% 27,674 -47%
RBOB Gasoline OB Physical 467 -42% 44% 6,516 -51%

Agricultural Options

  • Livestock volumes remain elevated
    • 2020 April Lean Hogs implied volatility and put skew matching or beating last year volatility levels.
    • Live Cattle futures down 11% on the month, with April implied vol approaching 40% and 25 delta puts trading at a 5% vol premium vs 25 delta calls.
    • For more on volatility trends read the Feb Ag options update
  • 15% of Chicago Wheat and Soybeans option activity happened during non-US hours in February
  • Dairy options posted ADV of 4.3K contracts, second highest mark ever, helped by the new Block Cheese option contract

Recommended reading: Options Strategies in Grain Part 1 – Learn how options spreads like Verticals can potentially optimize risk/reward profiles and mitigate risk

  Symbol ADV ADV YoY % Globex Open Interest OI YoY
Corn OZC 57,449 -36% 85% 686,265 -27%
Soybean OZS 41,340 -20% 90% 489,677 9%
Chicago SRW Wheat OZW 32,838 -26% 85% 322,953 -7%
Lean Hogs HE 15,370 26% 96% 301,954 30%
Live Cattle LE 15,097 77% 93% 179,595 2%
Soybean Oil OZL 11,217 76% 78% 115,616 60%
Soybean Meal OZM 9,173 36% 80% 94,347 -12%
KC HRW Wheat OKE 4,251 -20% 82% 66,869 -13%
Short-Dated New Crop Multi 3,114 -32% 61% 71,599 4%
Weekly Corn ZC1-5 2,358 -66% 90% 8,687 -60%
Class III Milk DC 2,110 27% 97% 66,926 -2%
Feeder Cattle GF 1,805 94% 96% 29,058 -2%
Nonfat Dry Milk GNF 926 167% 71% 21,805 -2%
Weekly Soybeans ZS1-5 805 -29% 94% 1,038 -63%
Grain Calendar Spread options Multi 653 4% 17% 44,880 65%
Weekly SRW Wheat ZW1-5 549 -21% 100% 3,844 -15%
Class IV Milk GDK 416 109% 93% 13,466 28%

FX Options

  • With volatility rebounding from a prolonged slumber, FX options volumes in Feb were the highest since May 2018
  • Monday expiring weekly options launched, averaged 285 contracts/day and open interest growing to 5.1K
  Symbol ADV ADV YoY % Globex Open Interest OI YoY
EUR/USD EUU 33,624 41% 99% 329,439 26%
JPY/USD JPU 17,744 106% 99% 173,153 44%
AUD/USD ADU 7,667 74% 100% 92,325 36%
GBP/USD GPU 7,644 -13% 95% 114,538 -30%
CAD/USD CAU 5,543 17% 100% 71,279 7%
MXN/USD 6M 348 271% 72% 7,140 97%
CHF/USD CHU 311 225% 100% 8,428 190%
NZD/USD 6N 127 50% 100% 2,707 186%

Metals Options

  • Having never reached 100K ADV prior to June 2019, Metals options have now averaged over 100K contracts/day for 3 consecutive months and 5 out of the last 9 months
  • Weekly Gold options (OG1-5) posted record ADV of 12.3K contracts/day, a 49th consecutive month of YoY growth
    • Open interest in Gold weeklies sits at a record high of 66.6K contracts as of 3/5
  • Copper options posted record ADV of 5.1K contracts/day, with open interest climbing to a record 90K contracts on 2/24
  Symbol ADV ADV YoY % Globex Open Interest OI YoY
Gold OG 93,554 144% 74% 1,582,732 35%
Silver SO 13,231 130% 94% 141,371 -35%
Gold Weeklies OG1-5 12,315 298% 95% 39,732 101%
Copper HX 5,104 38% 68% 59,253 47%
Silver Weeklies SO1-5 969 665% 99% 3,990 669%
Platinum PO 230 6% 14% 11,783 72%
Palladium PAO 48 -12% 55% 3,157 251%

Open Interest as of 2/28/20, 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.

Copyright © 2020 CME Group Inc. All rights reserved

Read More Reports

View previous months' options reports over the last year.

View Archived Reports

Intra-Month Updates

Follow CME Group Options

More options resources