November Options Review

Reviews by Asset Class

OPTIONS COMPLEX OVERVIEW

Asset Class ADV % YoY % Globex Open Interest OI % Puts
Total Options 3,489,912 -18% 64% 67,536,857 59%
Interest Rates 2,028,744 -25% 51% 50,522,517 61%
Equity Index 757,609 -6% 91% 5,847,583 72%
Energy 376,592 -7% 69% 6,860,620 42%
Agricultural 201,017 6% 78% 2,438,267 47%
FX 83,402 -1% 98% 945,378 52%
Metals 42,548 -40% 77% 922,492 35%

Trends & Highlights

  • With 813M total options contracts traded YTD, 2017 has already surpassed 2016’s full-year record of 788M contracts
  • Average daily open interest (ADOI) was 68.8M contracts in November, +4% MoM and +15% YoY
  • Weekly options are averaging nearly 600K contracts/day in 2017, +48% YoY and accounting for 17% of all options volume – up from 13% in 2016.

INTEREST RATE OPTIONS

  Symbol ADV % YoY % Globex Open Interest OI % Puts
Eurodollar options   1,348,618 -25% 37% 46,500,952 61%
Eurodollars (Quarterly/Serial) GE 490,343 -37% 35% 27,105,149 60%
1-Year Mid-Curve GE0 490,203 17% 37% 9,732,633 62%
2-Year Mid-Curve GE2 234,853 -37% 40% 6,063,152 64%
3-Year Mid-Curve GE3 127,379 -38% 32% 3,288,564 62%
4-Year Mid-Curve GE4 3,882 -69% 41% 302,153 55%
Treasury options   680,123 -25% 78% 4,014,890 58%
10-Year Note OZN 377,563 -35% 75% 2,167,803 59%
5-Year Note OZF 84,965 -28% 71% 779,051 66%
T-Bond OZB 68,430 -29% 88% 371,591 56%
2-Year Note OZT 12,988 95% 69% 181,371 50%
Fri Weekly 10-Year ZN1-5 79,039 -3% 88% 273,541 41%
Fri Weekly 5-Year ZF1-5 17,211 20% 83% 88,493 42%
Fri Weekly T-Bond ZB1-5 19,532 20% 90% 98,372 53%
Wed Weekly 10-Year WY1-5 12,773 N/A 83% 44,409 67%
Wed Weekly 5-Year WF1-5 3,794 N/A 72% 2,483 61%
Wed Weekly T-Bond WB1-5 3,572 N/A 98% 3,217 58%

Trends & Highlights

  • Open interest in 1-Year Mid-Curve options has surged 45% over the last two months, with over 9.7M in outstanding interest
  • Wednesday Treasury options reached record ADV of 20K contracts/day, +25% MoM, while open interest hit a record 73.9K contracts on 11/14. Bloomberg codes below:
    • 2-YR: TUIA Comdty
    • 5-YR: FVWA Comdty
    • 10-YR: TYYA Comdty
    • Ultra 10-YR: UXTA Comdty
    • T-Bond: USYA Comdty
    • Ultra T-Bond: WNYA Comdty

EQUITY INDEX OPTIONS

  Symbol ADV % YoY Open Interest OI % Puts
E-mini S&P 500 options   671,278 -9% 5,053,665 73%
Quarterlies ES 185,835 -10% 2,452,181 74%
Weekly EW1 - EW4 302,261 -20% 1,589,592 75%
Wednesday Weekly E1C-E5C 41,358 -21% 39,536 68%
Monday Weekly E1A - E5A 31,510 N/A 64,989 56%
End-of-Month EW 110,314 5% 907,367 69%
S&P 500 options   66,929 26% 639,705 68%
Quarterlies SP 14,517 5% 225,523 67%
Weekly EV1 - EV4 32,944 20% 274,587 72%
Wednesday Weekly S1C-S5C 3,064 1% 4,373 61%
Monday Weekly S1A - S5A 3,118 N/A 6,056 93%
End-of-Month EV 13,238 73% 118,122 59%
E-mini NASDAQ-100 options   16,742 75% 121,576 65%
Quarterlies NQ 6,861 149% 86,062 59%
Weekly QN1 - QN4 9,384 47% 31,506 78%
End-of-Month QNE 497 28% 4,008 79%
E-mini Russell 2000 options RTO 2,199 N/A 20,040 63%
E-mini Dow ($5) options YM 460 4% 12,580 67%

Trends & Highlights

  • E-mini NASDAQ-100 options ADV surged 75% to 16.7K contracts/day
  • E-mini Russell 2000 options ADV remained strong with 2.2K contracts/day
  • Standard S&P 500 options were very active with nearly 67K contracts/day, led by weekly and end-of-month expirations
Options on E-mini Russell 2000 Index Futures Underlying Index (Bloomberg) CME Globex Bloomberg Options Monitor Thomson Reuters Chain
Quarterly RTY Index RTO RTYA Index OMON 0#1RTY+
End-of-Month RTY Index RTM RMEA Index OMON 0#1RMX+
Weekly RTY Index R1E-R4E RUWA Index OMON 0#1RTYW+

ENERGY OPTIONS

  Symbol Settlement ADV % YoY % Globex Open Interest OI % Puts
Crude Oil options     222,375 -18% 75% 4,045,332 49%
WTI Crude Oil LO Physical 191,565 -21% 83% 2,579,455 45%
WTI 1 Month CSO WA Physical 10,435 -14% 29% 398,667 58%
WTI 1 Month CSO 7A Financial 6,157 -48% 3% 273,275 70%
WTI Weeklies LO1-5 Physical 3,485 103% 100% 10,053 66%
WTI-Brent Spread BV Financial 3,337 923% 19% 206,990 38%
Brent Futures-Style BZO Financial 3,259 74% 38% 101,693 45%
WTI Average Price AO Financial 3,113 207% 0% 394,658 55%
Natural Gas options     150,799 18% 62% 2,661,758 33%
Natural Gas European LN Financial 131,365 23% 61% 2,311,490 32%
Natural Gas American ON Physical 12,521 -27% 97% 131,073 35%
Natural Gas 1 Month CSO G3 Financial 2,036 30% 0% 135,799 40%
Natural Gas Daily KD Financial 2,514 83% 71% 0 N/A
Refined Product options     2,505 -39% 21% 84,254 28%
NY Harbor ULSD OH Physical 1,633 -41% 12% 52,111 27%
RBOB Gasoline OB Physical 651 -41% 49% 11,437 49%

Trends & Highlights

  • A record 61% of Natural Gas options (LN) traded electronically, with record electronic ADV of nearly 80K contracts/day
  • Daily Natural Gas options (KD) continue to gain momentum, +83% YoY and a record 71% traded electronically
    • A record 9,007 KD options traded on screen on 12/4/17
  • Brent Spread options (BV) surged 923% YoY with 3.3K contracts traded per day

AGRICULTURAL OPTIONS

  Symbol ADV % YoY % Globex Open Interest OI % Puts
Corn OZC 72,815 19% 76% 926,441 43%
Soybean OZS 54,794 -5% 81% 438,886 41%
SRW Wheat OZW 22,838 -14% 81% 244,588 47%
Live Cattle LE 11,715 -5% 88% 202,503 61%
Lean Hogs HE 10,371 41% 84% 181,771 63%
Soybean Oil OZL 9,267 -3% 52% 90,526 39%
Soybean Meal OZM 8,168 16% 70% 88,103 44%
Weekly Corn ZC1-5 2,625 198% 73% 9,608 35%
Class III Milk DC 1,993 30% 61% 72,531 50%
Feeder Cattle GF 1,349 -9% 89% 26,811 63%
KC HRW Wheat OKE 1,275 40% 77% 29,228 44%
Weekly Soybean ZS1-5 1,054 28% 95% 4,272 58%
Cash-Settled Cheese CSC 637 108% 71% 41,402 55%

Trends & Highlights

  • Hog option volume spiked based on price movement
  • Implied vol levels continue to be suppressed in grains hitting new 7-year lows for new crop Corn, Soybeans & Wheat markets at this time of year
  • Open interest records for Butter, Cheese & Nonfat, record volume day in Class III
  • Weekly options grew 113% YoY, led by Corn and Soybeans, up 198% and 28% respectively

FX OPTIONS

  Symbol ADV % YoY % Globex Open Interest OI % Puts
EUR/USD EUU 39,612 -2% 99% 399,205 53%
GBP/USD GPU 18,777 89% 98% 187,107 48%
JPY/USD JPU 13,088 -36% 99% 158,213 51%
CAD/USD CAU 6,732 39% 98% 100,058 53%
AUD/USD ADU 4,818 -35% 97% 76,424 47%
CHF/USD CHU 119 -79% 100% 15,140 90%
MXN/USD 6M 99 -83% 91% 9,231 90%

Trends & Highlights

  • Wednesday FX options are off to a strong start with ADV of 2,632 contracts/day and open interest surpassing 11K contracts
  • GBP options increased 89% YoY to 18.7K contracts/day

METALS OPTIONS

  Symbol ADV % YoY % Globex Open Interest OI % Puts
Gold OG 35,158 -44% 76% 794,099 34%
Silver SO 4,988 -19% 81% 93,564 42%
Gold Weeklies OG1-5 1197 124% 99% 7,082 69%
Copper HX 604 158% 94% 7,352 56%
Palladium PAO 327 50% 25% 3,010 22%
Platinum PO 176 3% 57% 4,837 15%
Iron Ore ICT 97 -63% 0% 12,210 41%

Trends & Highlights

  • Weekly Gold options ADV reached a record 1.2K, +124% YoY – a 21st consecutive month of YoY growth
  • Copper options continue to grow on the heels of a dramatic improvement to liquidity
    • ADV +158% YoY
    • Record average daily open interest (ADOI) of 12,546

Report Legend

Open Interest as of 11/30/17, unless otherwise specified
YoY – Compares current period 2017 to same period 2016
MoM – Compares current month 2017 to previous month 2017

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. 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, NYMEX and CBOT rules. Current CME/CBOT/NYMEX rules should be consulted in all cases before taking any action.

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.

Copyright 2017 CME Group All Rights Reserved.

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