June Options Review

Reviews by Asset Class

Options Complex Overview

Asset Class ADV % YoY % Globex Month-End OI OI % Puts
Total Options 3,523,147 4% 66% 60,879,621 58%
Interest Rates 2,155,335 10% 55% 44,460,057 61%
Equity Index 580,249 -9% 93% 3,861,450 71%
Agricultural 393,100 24% 77% 3,723,452 39%
Energy 262,672 -22% 68% 6,674,716 47%
FX 72,782 -12% 98% 741,491 50%
Metals 59,009 42% 79% 1,418,455 36%

Trends & Highlights

  • 524 million options contracts traded in H1 2018, +14% YoY
  • Q2 Biggest Movers (Volume % Growth YoY)
    • Brent Crude Oil options +721%
    • Soybean Meal options +90%
    • Soybean options +49%
    • Treasury note options +32%
    • Corn options +23%
    • Gold options +20%
    • CAD/USD options +19%
  • Trading in Agricultural options surged to a record 393K contracts/day in June
  • 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   1,226,806 -5% 36% 64% 38,916,501 62%
Eurodollars (Quarterly/Serial) GE 581,470 -20% 35% 71% 23,566,718 65%
1-Year Mid-Curve GE0 358,066 27% 34% 56% 7,546,889 58%
2-Year Mid-Curve GE2 217,289 15% 39% 64% 5,622,641 62%
3-Year Mid-Curve GE3 63,191 -24% 38% 44% 1,969,699 48%
4-Year Mid-Curve GE4 5,296 -1% 15% 34% 184,652 29%
10-Year Note   627,582 39% 81% 41% 2,881,970 45%
Quarterly/Serial OZN 503,526 39% 80% 40% 2,639,283 44%
Friday Weekly ZN1-5 105,748 26% 85% 46% 216,233 53%
Wednesday Weekly WY1-5 18,307 244% 91% 50% 26,454 44%
5-Year Note   179,445 98% 78% 40% 1,600,644 63%
Quarterly/Serial OZF 150,311 100% 78% 42% 1,538,859 63%
Friday Weekly ZF1-5 26,140 77% 78% 30% 56,939 46%
Wednesday Weekly WF1-5 3,566 268% 99% 33% 5,745 40%
T-Bond   93,482 -29% 90% 47% 764,996 48%
Quarterly/Serial OZB 71,042 -30% 89% 47% 702,679 48%
Friday Weekly ZB1-5 18,693 -33% 91% 46% 55,338 41%
Wednesday Weekly WB1-5 3,747 90% 98% 60% 6,979 42%
2-Year Note   27,878 509% 63% 47% 278,074 48%
Quarterly/Serial OZT 26,536 540% 61% 46% 277,145 48%
Friday Weekly ZT1-5 769 287% 91% 37% 30 100%

Trends & Highlights

  • Treasury options continue to see outsized activity with daily volume +37% YoY
  • 2-Year note options continue to play a larger role in strategies, with volume and open interest both up over 500% YoY 784% YoY to 33.6K contracts/day, while open interest reached a record 728K contracts on 5/24
  • Wednesday weekly options averaged 25,651 contracts/day in June
    • Over 5.3M Wednesday Treasury options have traded since launched just over a year ago in June 2017
  • Friday expiring option averaged 151K contracts/day in June, +19% YoY
  • NOW TRADING: Launched June 11, Eurodollar Term Mid-Curve options saw 20,972 contracts traded in the first 3 weeks with OI growing to 20,800 contracts.

Equity Index Options

  Symbol ADV % YoY Open Interest OI % Puts
E-mini S&P 500 options   536,441 -8% 3,919,632 69%
Quarterlies ES 158,529 17% 2,298,220 69%
Monday Weekly E1A - E5A 30,988 7% 46,026 83%
Wednesday Weekly E1C - E5C 44,565 1% 18,540 74%
Friday Weekly EW1 - EW4 231,532 -23% 1,000,739 72%
End-of-Month EW 70,826 -4% 556,107 62%
S&P 500 options   32,746 -29% 291,303 76%
Quarterlies SP 5,033 -54% 133,505 70%
Monday Weekly S1A - S5A 2,422 14% 11,269 94%
Wednesday Weekly S1C - S5C 3,027 -10% 1,275 100%
Friday Weekly EV1 - EV4 18,867 -24% 119,990 83%
End-of-Month EV 3,397 -33% 25,264 68%
E-mini NASDAQ-100 options   7,913 -17% 75,740 63%
Quarterlies NQ 3,342 14% 59,520 65%
Weekly QN1 - QN4 4,213 -32% 12,489 59%
End-of-Month QNE 358 13% 3,731 51%
E-mini Russell 2000 options RTO 2,104 N/A 33,178 64%
E-mini Dow ($5) options YM 406 150% 10,820 52%

Trends & Highlights

  • 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     197,107 -3% 69% 47% 4,720,437 45%
WTI Crude Oil LO Physical 159,106 -14% 81% 48% 2,893,809 44%
WTI 1 Month CSO WA Physical 14,876 71% 4% 46% 470,050 62%
Brent Futures-Style BZO Financial 7,219 523% 57% 45% 200,573 32%
WTI 1 Month CSO 7A Financial 4,348 108% 1% 33% 153,125 51%
WTI-Brent Spread BV Financial 2,963 529% 4% 55% 225,934 40%
WTI Weeklies LO1-5 Physical 2,681 -18% 100% 54% 3,593 50%
WTI Average Price AO Financial 1,458 -13% 0% 44% 454,774 53%
Brent 1-Month CSO 9C Financial 2,627 N/A 0% 22% 157,658 17%
Natural Gas options     62,923 -52% 65% 50% 1,846,401 50%
Natural Gas European LN Financial 52,426 -55% 61% 49% 1,673,331 50%
Natural Gas American ON Physical 7,886 -19% 99% 49% 87,727 41%
Natural Gas Daily KD Financial 1,127 -44% 55% 52% 0 N/A
Refined Product options     2,079 -37% 19% 47% 72,408 32%
NY Harbor ULSD OH Physical 1,290 -32% 21% 54% 40,131 40%
RBOB Gasoline OB Physical 686 -38% 17% 39% 10,712 17%

Trends & Highlights

  • Trading in WTI 1-Month Calendar Spread options +79% YoY to 19,224 contracts/day
  • Brent Crude Oil options (BZO) traded a record 7.2K contracts/day, +523% YoY
  • Month-end open interest in BZO +230% YoY to 200K contracts
  • Month-end open interest in WTI Average Price options (AO) +45% YoY to 455K

Agricultural Options

  Symbol ADV % YoY % Globex ADV % Puts Month-End OI OI % Puts
Corn OZC 177,009 24% 75% 32% 1,667,422 35%
Soybean OZS 106,781 48% 82% 44% 665,657 36%
SRW Wheat OZW 40,028 -10% 78% 42% 353,162 43%
Soybean Meal OZM 17,479 92% 71% 47% 180,786 36%
Lean Hogs HE 11,512 15% 86% 51% 156,523 55%
Live Cattle LE 8,712 -15% 85% 61% 184,048 56%
Short-Dated New Crop Corn OCD 9,229 79% 64% 30% 134,486 26%
Soybean Oil OZL 5,323 -39% 72% 41% 72,730 46%
KC HRW Wheat OKE 3,460 -13% 64% 44% 42,693 42%
Weekly Corn ZC1-5 2,974 11% 48% 32% 5,483 40%
Short-Dated New Crop Soybeans OSD 3,814 117% 93% 54% 32,112 36%
Class III Milk DC 2,156 59% 89% 55% 85,465 52%
Weekly Soybean ZS1-5 1,175 10% 90% 55% 2,159 66%
Feeder Cattle GF 777 -40% 94% 58% 30,202 61%

Trends & Highlights

  • Trading in Agricultural options surged to a record 393K contracts/day, led by Corn, Soybeans and Soybean Meal
  • Grain & Oilseed markets experienced large ranges in implied volatlity in June
  • Record, 49% of Grain & Oilseed volume on Globex was done as a spread

FX Options

  Symbol ADV % YoY % Globex ADV % Puts Month-End OI OI % Puts
EUR/USD EUU 35,746 11% 98% 54% 321,347 54%
JPY/USD JPU 10,556 -34% 98% 44% 115,578 49%
GBP/USD GPU 11,046 -41% 97% 45% 132,064 47%
CAD/USD CAU 8,854 4% 98% 48% 94,763 46%
AUD/USD ADU 6,180 -8% 93% 52% 68,309 50%
CHF/USD CHU 258 169% 100% 68% 6,543 71%
MXN/USD 6M 142 92% 60% 57% 2,887 56%

Trends & Highlights

  • Open interest in Wednesday weekly FX options reached a new high of 32K contracts on June 26
  • EUR/USD options open interest of 321K contracts is +16% YTD

Metals Options

  Symbol ADV % YoY % Globex ADV % Puts Month-End OI OI % Puts
Gold OG 45,702 29% 78% 43% 1,190,469 35%
Silver SO 9,135 85% 83% 41% 190,619 41%
Gold Weeklies OG1-5 2,018 182% 100% 53% 5,220 52%
Copper HX 1,582 1395% 77% 41% 20,335 47%
Platinum PO 278 362% 31% 17% 5,816 14%
Palladium PAO 123 -53% 52% 38% 2,518 43%

Trends & Highlights

  • Silver option +85% YoY to 9K contracts/day. Month-end OI +86% to 191K contracts
  • Weekly Gold options ADV eclipsed 2K, +182% YoY – a 28th consecutive month of YoY growth
  • Copper options ADV surged 1,395% YoY to 1,582 contracts/day

Report Legend

Open Interest as of 06/29/18, 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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