January Options Review

Reviews by Asset Class

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

Options Complex Overview

Macro events had an impact on nearly every asset class in January, leading to elevated options trading across multiple product groups.

  • Haven markets like US Treasuries and Gold saw outsized trading
  • Short-dated options shined as traders managed economic event risks
    • Weekly options on commodity futures saw the second highest monthly ADV ever, led by a record month for Crude weeklies
  • Ag markets saw seasonally high volumes led by Soybean oil and Lean Hog options
  • Volatility returned to Equity and Energy markets

January by Asset Class

Asset Class ADV ADV YoY % Globex Open Interest OI YoY
Total Options 4,030,981 1% 69% 70,858,057 2%
Interest Rates 2,589,031 -5% 60% 55,696,262 4%
Equity Index 738,035 11% 96% 3,927,517 -7%
Energy 331,840 19% 67% 5,963,070 -7%
Agricultural 225,245 21% 86% 3,072,449 3%
Metals 100,465 63% 79% 1,603,429 6%
FX 46,365 -19% 99% 595,330 -10%

Interest Rate Options

Coronavirus concerns and other macro drivers drove strong volumes in Treasury options while the relatively stable FOMC policy outlook for 2020 as compared to that observed in 2019, weighed on STIR volumes.

  • Options on 10s and T-Bonds saw outsized growth relative to the short end of the curve, with ADV +36% and 49% respectively
  • Weekly Treasury options averaged over 255K contracts/day (211K in Fridays and 44K in Wednesdays)
  • SOFR options began trading with numerous initial trades

January Stats

  Symbol ADV ADV YoY % Globex Open Interest OI YoY
Eurodollar options   1,370,607 -22% 43% 48,171,876 1%
Eurodollars (Quarterly/Serial) GE 969,338 -5% 41% 39,134,349 22%
1-Year Mid-Curve GE0 276,611 -42% 41% 5,787,750 -37%
2-Year Mid-Curve GE2 98,659 -43% 55% 2,188,118 -44%
3-Year Mid-Curve GE3 25,655 -69% 63% 1,016,181 -54%
4-Year Mid-Curve GE4 221 -56% 57% 41,478 -62%
10-Year Note   865,502 36% 78% 4,291,998 40%
Quarterly/Serial OZN 673,854 36% 77% 3,763,165 43%
Friday Weekly ZN1-5 161,240 29% 82% 483,861 17%
Wednesday Weekly WY1-5 30,407 87% 85% 44,972 56%
5-Year Note   163,077 -13% 81% 1,792,083 1%
Quarterly/Serial OZF 138,018 -14% 79% 1,713,697 2%
Friday Weekly ZF1-5 19,110 -12% 90% 66,271 -21%
Wednesday Weekly WF1-5 5,949 66% 94% 12,115 37%
T-Bond   178,804 49% 82% 1,172,763 24%
Quarterly/Serial OZB 139,253 46% 79% 1,057,864 27%
Friday Weekly ZB1-5 31,260 38% 92% 85,984 -24%
Wednesday Weekly WB1-5 8,290 239% 93% 28,915 693%
2-Year Note OZT 10,548 -23% 88% 220,572 54%
Ultra T-Bond OUB 181 -84% 8% 26,887 -50%
Ultra 10-Year Note OTN 214 449400% 62% 12,012 19920%
Fed Funds OZQ 98 N/A 100% 8,051 318%

Equity Index Options

Concerns over the outbreak of the coronavirus from China and the announcement of a public health emergency largely overshadowed corporate results, causing a significant selloff toward the end of January. In January, the Nasdaq gained 2% but the Dow fell 1% and the S&P 500 fell 0.2%.

  • E-mini S&P 500 options on futures are now the second largest pool in index options liquidity during non-U.S. trading hours, averaging 148K contracts per day in January, up 46% vs 2019 ADV
  • Monday and Wednesday weekly options outcontinued to outsized growth, accounting for 23% of total S&P 500 options (standard and E-mini) volume in 2019
  • E-mini Nasdaq 100 options volumes surged 36% YoY, averaging nearly 18K contracts/day
  • Bitcoin options began trading with early ADV of 19 contracts/day and open interest growing to 351 contracts at month-end

January Stats

  Symbol ADV ADV YoY Open Interest OI YoY
E-mini S&P 500 options   685,235 13% 3,624,806 -7%
Quarterlies ES 115,650 1% 1,636,368 -19%
Monday Weekly E1A-E5A 77,426 125% 221,223 515%
Wednesday Weekly E1C-E5C 80,032 53% 114,493 325%
Friday Weekly EW1-EW4 279,612 -11% 1,034,376 -15%
End-of-Month EW 132,515 45% 618,346 2%
S&P 500 options   31,917 -31% 183,348 -22%
Quarterlies SP 1,980 -25% 61,440 7%
Monday Weekly S1A-S5A 5,682 -15% 37,926 135%
Wednesday Weekly S1C-S5C 4,160 -11% 6,099 -20%
Friday Weekly EV1-EV4 14,257 -43% 66,064 -49%
End-of-Month EV 5,838 -18% 11,819 -50%
E-mini Nasdaq-100 options   17,930 36% 94,128 21%
Quarterlies NQ 4,207 60% 34,809 3%
Weekly QN1-QN4 10,162 3% 42,767 4%
End-of-Month QNE 3,562 412% 16,552 448%
E-mini Russell 2000 options RTO 2,814 265% 23,040 119%
E-mini Dow ($5) options YM 120 -66% 1,837 -77%
Bitcoin options   19 N/A 351 NA

Energy Options

Volatility stemming from a slew of geopolitical events boosted Energy options volumes in January.

  • WTI weekly options (LO1-5) saw record ADV for the second straight month bolstered by new participants and deepened liquidity
  • WTI Crude Oil options (LO) averaged 163K contracts/day, with a record 21.5% traded outside of US hours
  • Natural Gas calendar spread options continue to be highly active with ADV of nearly 14K

January Stats

  Symbol Settlement ADV ADV YoY % Globex Open Interest OI YoY
Crude Oil options     196,116 28% 77% 3,302,524 -22%
WTI Crude Oil LO Physical 163,204 38% 87% 2,090,481 -24%
WTI 1 Month CSO Physical WA Physical 12,152 -25% 5% 380,450 -32%
Brent Futures-Style BZO Financial 4,130 -16% 50% 90,192 -40%
WTI Weeklies LO1-5 Physical 6,244 150% 100% 8,892 -2%
WTI 1 Month CSO Financial 7A Financial 4,295 49% 0% 156,010 1%
WTI Average Price AAO Financial 2,672 246% 0% 389,404 33%
WTI-Brent Spread BV Financial 1,790 -56% 7% 120,125 -9%
Natural Gas options     133,212 7% 52% 2,594,873 24%
Natural Gas European LN Financial 108,257 -1% 55% 2,053,926 11%
Natural Gas American ON Physical 10,088 16% 98% 103,600 -10%
Natural Gas 1 Month CSO G4 Financial 9,265 68% 1% 291,159 192%
Natural Gas 3 Month CSO G3 Financial 1,474 N/A 0% 40,800 N/A
Natural Gas 6 Month CSO G6 Financial 2,895 617% 0% 69,550 264%
Refined Product options     2,214 7% 25% 54,087 -41%
NY Harbor ULSD OH Physical 1,304 -12% 27% 31,018 -49%
RBOB Gasoline OB Physical 478 23% 39% 7,238 -25%

Agricultural Options

The Phase 1 trade agreement with China and more positive export expectations boosted Ag options volumes in January. Options growth reflects the possibility of significantly greater Ag exports in 2020 but with uncertainty of when and exactly how much actually occurs. Soybean Oil volumes surged at least in part due to a significant correction in the related palm oil market which saw increased volatility.  In the US, livestock was impacted by Trump signing the USMCA as well as hog slaughter for the last week of January coming in at 2.707 million head, which was 14% higher than the same week last year as production highs continue.

  • Soybean Oil options volume surged 137% YoY, OI +69%
  • Lean Hog option volume +54% YoY, OI +55%
  • KC Wheat volume +76% YoY

January Stats

  Symbol ADV ADV YoY % Globex Open Interest OI YoY
Corn OZC 73,581 18% 86% 947,716 -9%
Soybean OZS 53,213 15% 88% 575,372 8%
Chicago SRW Wheat OZW 28,554 6% 88% 382,138 0%
Lean Hogs HE 18,543 54% 96% 355,857 55%
Soybean Oil OZL 12,946 137% 83% 141,736 69%
Live Cattle LE 10,540 35% 90% 190,276 6%
Soybean Meal OZM 8,644 12% 82% 105,775 -20%
KC HRW Wheat OKE 5,223 76% 83% 88,822 -1%
Weekly Corn ZC1-5 4,050 -18% 84% 3,390 -87%
Short-Dated New Crop Multi 2,609 16% 61% 56,962 -2%
Class III Milk DC 1,823 -17% 95% 60,732 -15%
Feeder Cattle GF 1,381 12% 95% 21,158 -39%
Weekly Soybeans ZS1-5 928 51% 94% 3,749 -9%
Grain Calendar Spread options Multi 850 145% 3% 46,901 99%
Weekly SRW Wheat ZW1-5 487 37% 92% 2,088 -47%

FX Options

Historically low volatility continues to weigh heavily on G6 options volumes. Emerging market currencies slumped in January as the coronavirus outbreak dented economic activity in China, weighing on demand for global goods and services.

  • JPY/USD volume +19% YoY
  • CHF/USD volume +315% YoY
  • NZD/USD volumes building as liquidity improves

January Stats

  Symbol ADV ADV YoY % Globex Open Interest OI YoY
EUR/USD EUU 19,777 -26% 100% 233,168 -3%
JPY/USD JPU 10,420 19% 98% 115,296 7%
GBP/USD GPU 5,947 -47% 96% 100,242 -40%
AUD/USD ADU 5,417 7% 100% 71,690 0%
CAD/USD CAU 4,290 -15% 100% 59,835 -15%
CHF/USD CHU 394 315% 100% 12,197 449%
NZD/USD 6N 61 168% 100% 1,780 49%
MXN/USD 6M 56 -16% 100% 1,112 -57%

Metals Options

Concerns around possible conflict with Iran resulted in strong trading in Gold option during the first weeks of the year, while coronavirus concerns and its effect on the consumption and the Chinese economy drove significant trading in Copper options.

  • Having never reached 100K ADV prior to June 2019, Metals options have now averaged over 100K contracts/day in four out of the last eight months
  • Weekly Gold options (OG1-5) surged 280% to nearly 9K contracts/day, a 48th consecutive month of YoY growth
  • Copper options volume +58% YoY, OI +52%

January Stats

  Symbol ADV ADV YoY % Globex Open Interest OI YoY
Gold OG 76,714 57% 75% 1,364,329 13%
Silver SO 9,581 27% 93% 143,166 -43%
Gold Weeklies OG1-5 8,954 280% 97% 25,963 163%
Copper HX 3,810 58% 86% 52,053 52%
Silver Weeklies SO1-5 684 407% 96% 2,163 77%
Platinum PO 457 125% 17% 9,905 56%
Palladium PAO 130 106% 23% 3,636 152%

Open Interest as of 1/31/20, unless otherwise specified
YoY – Compares current period 2020 to same period 2019
MoM – Compares current month 2020 to previous month 2019

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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