July Options Review

Reviews by Asset Class

Options Complex Overview

Asset Class

ADV

% YoY

% Globex

Month-End OI

OI % YoY

Total Options

2,763,895

-5%

65%

65,932,334

13%

Interest Rates

1,552,971

-2%

50%

48,854,488

18%

Equity Index

564,360

8%

93%

4,466,371

1%

Agricultural

287,402

-20%

77%

3,822,774

15%

Energy

243,239

-18%

68%

6,605,548

-9%

FX

60,297

-34%

99%

729,867

-13%

Metals

55,626

17%

81%

1,453,286

29%

Trends & Highlights

  • FX options expiration time changing to 10 a.m. New York time – read more
  • NEW Options Calculator: Generate fair value prices and Greeks for any of CME Group’s options on futures contracts or price up a generic option with our universal calculator.

Interest Rate Options

 

Symbol

ADV

% YoY

% Globex

ADV % Puts

Month-End OI

OI % Puts

Eurodollar options

 

917,742

9%

30%

58%

43,403,705

62%

Eurodollars (Quarterly/Serial)

GE

531,298

55%

27%

60%

26,934,031

64%

1-Year Mid-Curve

GE0

180,833

-23%

33%

59%

7,935,922

60%

2-Year Mid-Curve

GE2

134,246

-19%

30%

61%

5,901,091

65%

3-Year Mid-Curve

GE3

68,029

-22%

40%

42%

2,384,291

47%

4-Year Mid-Curve

GE4

2,261

-66%

40%

15%

207,319

23%

10-Year Note

 

420,251

-19%

80%

48%

2,994,162

43%

Quarterly/Serial

OZN

347,027

-13%

80%

46%

2,717,763

42%

Friday Weekly

ZN1-5

55,911

-49%

82%

60%

229,837

50%

Wednesday Weekly

WY1-5

17,313

105%

80%

48%

46,562

55%

5-Year Note

 

93,085

-3%

77%

50%

1,313,332

68%

Quarterly/Serial

OZF

82,231

6%

75%

50%

1,260,352

69%

Friday Weekly

ZF1-5

8,261

-51%

85%

51%

44,131

50%

Wednesday Weekly

WF1-5

3,260

75%

95%

53%

12,885

50%

T-Bond

 

100,981

-24%

83%

52%

777,768

48%

Quarterly/Serial

OZB

79,216

-27%

82%

51%

659,894

46%

Friday Weekly

ZB1-5

15,891

-28%

84%

60%

81,355

57%

Wednesday Weekly

WB1-5

5,874

136%

93%

54%

36,519

78%

2-Year Note

 

20,799

550%

85%

35%

350,960

42%

Quarterly/Serial

OZT

20,056

572%

85%

33%

345,811

41%

Friday Weekly

ZT1-5

66

-15%

100%

40%

1,113

30%

Trends & Highlights

  • Long Green Eurodollar options, which have expiration dates between two-three years out, saw a significant increase in trading last month as the yield curve flattened. Over 120K contracts traded daily in July vs 30K per day in H1 2018.
  • 2-Year Note options remain highly active, averaging 21K contracts/day, +550% YoY
  • New Term Mid-Curves open interest has grown to 36K contracts
  • Wednesday treasury options averaged 26K contracts/day, +107% YoY. Over 6M Wednesday options have traded since June 2017 launch

Equity Index Options

 

Symbol

ADV

% YoY

ADV % Puts

Month-End OI

OI % Puts

E-mini S&P 500 options

 

511,947

11%

67%

4,066,147

72%

Quarterlies

ES

78,638

19%

63%

1,889,954

72%

Monday Weekly

E1A - E5A

30,659

71%

68%

19,566

79%

Wednesday Weekly

E1C - E5C

38,056

15%

64%

65,710

71%

Friday Weekly

EW1 - EW4

283,398

3%

68%

1,400,494

74%

End-of-Month

EW

81,196

20%

67%

690,423

66%

S&P 500 options

 

39,461

-20%

74%

292,454

70%

Quarterlies

SP

2,998

-20%

54%

83,147

55%

Monday Weekly

S1A - S5A

2,667

77%

69%

1,460

100%

Wednesday Weekly

S1C - S5C

2,509

17%

64%

7,982

66%

Friday Weekly

EV1 - EV4

26,865

-20%

78%

165,300

75%

End-of-Month

EV

4,422

-46%

76%

34,565

79%

E-mini NASDAQ-100 options

 

 11,396

-18%

67%

76,436

69%

Quarterlies

NQ

3,118

94%

69%

43,699

69%

Weekly

QN1 - QN4

7,610

-35%

66%

27,933

68%

End-of-Month

QNE

668

28%

61%

4,804

71%

E-mini Russell 2000 options

RTO

1,258

408%

60%

22,569

59%

E-mini Dow ($5) options

YM

298

1%

61%

8,763

55%

Trends & Highlights

  • Equity index options ADV of 564,360 was an increase of 8% YoY, with weekly expiring options leading the way in terms of growth.
  • S&P 500 options block trade enhancements are here:
    • Allowance of delta-neutral S&P 500 option blocks
    • Lower block threshold of 100 contracts (previously 250 contracts) during European and Asian Trading Hours only
    • Extended block trade reporting time window of 15 minutes (previously 5 minutes) during European and Asian Trading Hours only
    • View SER

 


Energy Options

 

Symbol

Settlement

ADV

% YoY

% Globex

ADV % Puts

Month-End OI

OI % Puts

Crude Oil options

 

 

176,075

-8%

73%

52%

4,627,943

45%

WTI Crude Oil

LO

Physical

144,816

-15%

82%

51%

2,979,013

44%

WTI 1 Month CSO

WA

Physical

11,471

26%

5%

68%

442,700

61%

Brent Futures-Style

BZO

Financial

8,415

351%

65%

50%

169,772

36%

WTI 1 Month CSO

7A

Financial

2,550

77%

1%

46%

136,550

50%

WTI-Brent Spread

BV

Financial

1,670

354%

4%

43%

198,561

40%

WTI Weeklies

LO1-5

Physical

2,757

-14%

100%

52%

6,948

52%

WTI Average Price

AO

Financial

654

-77%

0%

65%

416,857

52%

Brent European

BE

Financial

3,493

737%

0%

44%

106,597

40%

Natural Gas options

 

 

64,867

-36%

59%

47%

1,870,442

49%

Natural Gas European

LN

Financial

56,217

-37%

57%

48%

1,678,716

49%

Natural Gas American

ON

Physical

6,500

-27%

91%

37%

97,746

37%

Natural Gas Daily

KD

Financial

512

-72%

54%

41%

0

N/A

Refined Product options

 

 

1,818

-33%

10%

41%

72,659

32%

NY Harbor ULSD

OH

Physical

1,342

14%

8%

45%

42,576

38%

RBOB Gasoline

OB

Physical

421

-65%

16%

32%

10,790

26%

Trends & Highlights

  • 82% of WTI Crude Oil options (LO) traded electronically
  • Brent Crude Oil options (BZO) traded a record 8.4K contracts/day, +351% YoY

Agricultural Options

 

Symbol

ADV

% YoY

% Globex

ADV % Puts

Month-End OI

OI % Puts

Corn

OZC

120,198

-23%

75%

30%

1,623,870

36%

Soybean

OZS

67,188

-36%

79%

43%

698,738

39%

SRW Wheat

OZW

43,147

3%

73%

34%

424,648

41%

Lean Hogs

HE

14,794

56%

90%

57%

192,160

56%

Live Cattle

LE

9,771

9%

91%

56%

189,026

56%

Soybean Meal

OZM

8,984

-24%

75%

34%

183,871

34%

Short-Dated New Crop Corn

OCD

5,531

5%

57%

32%

92,865

28%

KC HRW Wheat

OKE

4,330

62%

68%

30%

73,314

31%

Soybean Oil

OZL

3,881

-31%

63%

43%

71,695

47%

Short-Dated New Crop Soybeans

OSD

2,360

0%

87%

43%

25,443

37%

Class III Milk

DC

1,720

4%

85%

57%

83,784

51%

Weekly Corn

ZC1-5

1,303

-61%

59%

58%

4,843

62%

Feeder Cattle

GF

1,270

9%

95%

57%

36,871

60%

Weekly Soybean

ZS1-5

953

-25%

99%

49%

2,550

45%

Trends & Highlights

  • SRW/HRW Wheat options exhibited an increase in volatility, call skew and volume throughout the month
  • An uptick in Lean Hog option activity and implied volatility given the large price move down
  • Black Sea Wheat options printed the first trade (Sept 215 put & Dec 230 call)

FX Options

  Symbol ADV % YoY % Globex ADV % Puts Month-End OI OI % Puts
EUR/USD

EUU

25,037

-42%

98%

53%

300,433

54%

JPY/USD

JPU

13,416

-12%

99%

40%

138,381

45%

GBP/USD

GPU

10,759

7%

97%

51%

138,064

49%

CAD/USD

CAU

5,886

-50%

99%

47%

79,731

45%

AUD/USD

ADU

4,919

-51%

99%

51%

63,561

49%

CHF/USD

CHU

169

-1%

100%

71%

6,982

76%

MXN/USD

6M

110

391%

100%

26%

2,715

40%

Trends & Highlights

  • FX options expiration time changing from 2 p.m. Chicago to 10 a.m. New York Time. Here’s what you need to know…
    • Why: To align our FX options with the primary OTC market convention
    • When: The expiration time will change to 10 a.m. New York (10 a.m. ET) for all contracts expiring after June 7, 2019, nearly a year from now
    • All the codes you use today will remain the same.
    • CME Group systems will continue to refer to the Chicago time convention for consistency. Thus 10 a.m. New York (10 a.m. ET) will appear as 9 a.m. CT in our clearing and trading systems.
    • Get all the details

Metals Options

  Symbol ADV % YoY % Globex ADV % Puts Month-End OI OI % Puts
Gold

OG

44,139

12%

81%

43%

1,204,694

34%

Silver

SO

6,856

4%

80%

46%

202,544

40%

Gold Weeklies

OG1-5

2,365

362%

100%

50%

7,934

50%

Copper

HX

1,673

459%

69%

39%

23,551

45%

Platinum

PO

322

99%

54%

17%

8,238

17%

Palladium

PAO

98

-71%

53%

27%

2,886

40%

Trends & Highlights

  • Weekly Gold options ADV grew to a record 2.3K, +362% YoY – a 29th consecutive month of YoY growth
  • Copper options ADV grew to 1,582 contracts/day, +459% YoY

Report Legend

Open Interest as of 07/31/18, unless otherwise specified
YoY – Compares current period 2018 to same period 2017
MoM – Compares current month 2018 to previous month 2018

 

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