November Options Review

Reviews by Asset Class

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

Options Complex Overview

Commentary

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Trading highlights

  • Options open interest grew 7% YoY to 78M contracts – the 47th consecutive month of YoY growth
  • Metals options ADV +21% YoY

November Stats

Asset Class ADV % YoY % Globex Month-End OI OI % YoY
Total Options 3,328,333 -23% 67% 78,092,373 7%
Interest Rates 2,252,746 -16% 57% 64,164,642 15%
Equity Index 543,003 -32% 94% 4,233,410 -24%
Energy 241,378 -51% 68% 5,141,003 -27%
Agricultural 186,575 -10% 86% 2,509,288 -2%
Metals 66,807 21% 85% 1,425,716 8%
FX 37,824 -47% 99% 618,314 -20%

Interest Rate Options

Commentary

  • With the Fed presumably on hold for the foreseeable future following their third 25 basis point cut of 2019 on October 30, interest rates remained range bound in November. 

Trading highlights

  • Despite subdued volatility, Rate options remained active with ADV of 2.25M while open interest climbed 19% YoY
  • Quarterly/Serial Eurodollars ADV +46% YoY, OI +44%
  • 2-Year note options ADV +98% YoY, OI +72%
  • SOFR options coming January 6, 2020, pending regulatory review

November Stats

  Symbol ADV % YoY % Globex Month-End OI OI % YoY
Eurodollar options   1,140,007 -12% 38% 58,386,105 19%
Eurodollars (Quarterly/Serial) GE 743,799 46% 39% 44,882,711 44%
1-Year Mid-Curve GE0 271,163 -42% 29% 8,008,699 -21%
2-Year Mid-Curve GE2 80,384 -63% 52% 3,598,356 -28%
3-Year Mid-Curve GE3 43,338 -50% 61% 1,812,992 -33%
4-Year Mid-Curve GE4 1,142 -51% 12% 83,347 -51%
10-Year Note   693,288 -27% 79% 2,965,844 -21%
Quarterly/Serial OZN 548,347 -20% 78% 2,673,357 -10%
Friday Weekly ZN1-5 125,862 -46% 82% 273,936 -63%
Wednesday Weekly WY1-5 19,079 -33% 86% 18,551 -67%
5-Year Note   223,186 -10% 69% 1,647,426 -16%
Quarterly/Serial OZF 193,377 -7% 65% 1,621,914 -7%
Friday Weekly ZF1-5 25,133 -27% 89% 23,497 -89%
Wednesday Weekly WF1-5 4,677 -14% 96% 2,015 -86%
T-Bond   166,920 -5% 81% 886,787 5%
Quarterly/Serial OZB 138,154 -5% 80% 834,555 10%
Friday Weekly ZB1-5 24,449 -7% 91% 48,491 -43%
Wednesday Weekly WB1-5 4,317 -6% 88% 3,741 -41%
2-Year Note OZT  27,043 98% 66% 234,255 72%
Ultra T-Bond OUB 1,913 52% 1% 25,263 9%
Ultra 10-Year Note OTN 340 11790% 0% 6,806 11243%
Fed Funds OZQ 48 100% 79% 12,156 1243%

Equity Index Options

Commentary

  • U.S. stocks closed out November with their largest monthly gains since June; The Dow Jones Industrial Average, S&P 500 and the Nasdaq Composite each rose more than 3% for the month. The indexes notched a series of records in recent sessions while industry wide volatility in November was near its lowest levels of the year.

Trading highlights

  • E-mini Russell 2000 options ADV +17% YoY, OI +17%
  • Monday and Wednesday weekly options accounted for 20% of total S&P 500 options (standard and E-mini) volume
  • Bitcoin options coming Q1 2020, pending regulatory review

November Stats

  Symbol ADV % YoY Month-End OI OI % YoY
E-mini S&P 500 options   502,941 -32% 3,887,496 -23%
Quarterlies ES 146,427 -19% 2,434,445 -3%
Monday Weekly E1A-E5A 45,374 -28% 105,813 -13%
Wednesday Weekly E1C-E5C 53,054 -25% 56,436 68%
Friday Weekly EW1-EW4 183,510 -42% 733,301 -22%
End-of-Month EW 74,576 -33% 557,501 -62%
S&P 500 options   31,241 -28% 237,374  
Quarterlies SP 3,522 17% 100,089 -5%
Monday Weekly S1A-S5A 3,239 -66% 13,925 -66%
Wednesday Weekly S1C-S5C 4,072 -40% 10,600 1561%
Friday Weekly EV1-EV4 14,416 -12% 89,899 41%
End-of-Month EV 5,992 -20% 22,861 -85%
E-mini NASDAQ-100 options   5,972 -50% 66,775 -32%
Quarterlies NQ 1,635 -73% 50,280 -22%
Weekly QN1-QN4 3,362 -20% 12,352 31%
End-of-Month QNE 976 -43% 4,143 -83%
E-mini Russell 2000 options   2,744 17% 38,874 17%
Quarterlies RTO 1,217 130% 38,874 17%
Weekly R1E-R4E 1,132 -14% 8,835 25%
End-of-Month RTM 396 -21% 3,342 -66%

Energy Options

Commentary

  • Natural gas prices have been under pressure due to strong supply. Stockpiles of Natural Gas accumulated ahead of last winter, when frigid temperatures were expected but never materialized. Spring came with more natural gas still in storage than expected, and this year's record production levels further increased stockpiles.

Trading highlights

  • Natural Gas calendar spread options remain active, with 1-Month CSO ADV +37%, and 6-Month CSO ADV +270% YoY
  • WTI average price options ADV +108% YoY

November Stats

  Symbol Settlement ADV % YoY % Globex Month-End OI OI % YoY
Crude Oil options     119,383 -63% 75% 2,843,976 -36%
WTI Crude Oil LO Physical 96,349 -65% 86% 1,682,390 -44%
WTI 1 Month CSO WA Physical 5,458 -44% 3% 368,625 -9%
WTI Average Price AAO Financial 5,267 108% 0% 377,796 1%
Brent Futures-Style BZO Financial 3,908 -55% 75% 72,491 -65%
WTI Weeklies LO1-5 Physical 3,694 -27% 100% 11,357 -3%
WTI-Brent Spread BV Financial 1,610 8% 4% 110,550 5%
WTI 1 Month CSO 7A Financial 1,480 -78% 0% 147,325 3%
Natural Gas options     120,126 -29% 61% 2,234,379 -10%
Natural Gas European LN Financial 100,582 -29% 64% 1,799,989 -17%
Natural Gas 1 Month CSO G4 Financial 8,058 37% 7% 214,377 207%
Natural Gas American ON Physical 7,904 -61% 99% 116,767 -39%
Natural Gas 6 Month CSO  G6 Financial 2,133 270% 0% 47,700 179%
Natural Gas 2 Month CSO  G2 Financial 741 51788% 0% 10,125 N/A
Refined Product options     1,517 -60% 29% 43,030 -49%
NY Harbor ULSD OH Physical 1,104 -57% 28% 26,565 -44%
RBOB Gasoline OB Physical 373 -47% 34% 5,893 -47%
Ethanol options CVR   327 118% 0% 12,900 96%

Agricultural Options

Commentary

  • Cooler temps/dryness in the Southern Plains and a potential drought in Texas contributed to stronger Grains volume on the futures side.
  • African Swine Fever (ASF) continued spreading through Asia and has now reached Europe.  Domestic hog production has achieved records for 5 years in a row but we still don’t have the U.S.-Mexico-Canada trade agreement signed and trade tensions with China continue.  Export demand has been strong but nowhere near where it could be given current demand and supply conditions.

Trading highlights

  • Hogs volume +22% YoY, OI +50%
  • Live cattle volume +22% YoY, OI +8%
  • Soybean Meal and Oil volume +38% and 31% respectively YoY

November Stats

  Symbol ADV % YoY % Globex Month-End OI OI % YoY
Corn OZC 68,953 -6% 86% 789,918 -6%
Soybean OZS 41,694 -34% 89% 451,492 -16%
Chicago SRW Wheat OZW 17,998 -29% 86% 236,946 -7%
Lean Hogs HE 13,181 22% 93% 398,470 50%
Live Cattle LE 11,064 43% 94% 198,930 8%
Soybean Meal OZM 9,372 38% 74% 83,010 -22%
Soybean Oil OZL 8,024 31% 78% 72,876 10%
Weekly Corn ZC1-5 4,293 -6% 75% 12,343 -43%
KC HRW Wheat OKE 3,725 45% 86% 50,710 0%
Class III Milk DC 1,799 1% 98% 69,055 -17%
Grain Calendar Spread options   1,301 217% 1% 29,065 229%
Weekly Soybeans ZS1-5 1,178 17% 66% 4,227 109%
Feeder Cattle GF 1,045 -11% 95% 17,121 -28%
Weekly SRW Wheat ZW1-5 648 31% 89% 1,805 -41%

FX Options

Commentary

  • Overall muted volatility continues to impact G6 options volumes.

Trading highlights

  • CHF/USD ADV +788% YoY, OI +273%
  • NZD/USD liquidity continues to improve

November Stats

  Symbol ADV % YoY % Globex Month-End OI OI % YoY
EUR/USD EUU 15,224 -48% 99% 228,086 -16%
JPY/USD JPU 8,544 -26% 99% 123,632 -2%
CAD/USD CAU 5,173 -10% 98% 68,403 -1%
GBP/USD GPU 4,561 -74% 99% 114,458 -48%
AUD/USD ADU 3,717 -48% 100% 69,457 -9%
CHF/USD CHU 360 788% 100% 9,818 273%
NZD/USD 6N 97 100% 100% 1,048 4%
MXN/USD 6M 93 21% 91% 2,009 -43%

Metals Options

Commentary

  • Signs of slowing economic growth and increasingly accommodative Federal Reserve policy kept volume strong across the complex. Elevated open interest, including a record of over 700k contracts in Gold futures, led to healthy options volume.

Trading highlights

  • Gold options volume +12% YoY, OI +16%.
  • Weekly Gold options (OG1-5) registered their a 45th consecutive month of YoY growth
  • Copper options volume +46% YoY, OI +129%

November Stats

  Symbol ADV % YoY % Globex Month-End OI OI % YoY
Gold OG 47,536 12% 83% 1,244,841 16%
Silver SO 8,035 0% 91% 117,351 -44%
Gold Weeklies OG1-5 7,711 220% 96% 21,453 90%
Copper HX 2,850 46% 66% 31,301 129%
Silver Weeklies SO1-5 452 162% 97% 1,823 25%
Platinum PO 104 -20% 32% 5,555 -5%
Palladium PAO 65 44% 39% 1,417 71%

Open Interest as of 11/29/19, unless otherwise specified
YoY – Compares current period 2019 to same period 2018
MoM – Compares current month 2019 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.

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