November Options Review

Reviews by Asset Class

Overview

Asset Class

ADV

% YoY

% Globex

Month-End OI

OI % YoY

Total Options

4,304,214

23%

71%

72,578,734

7%

Interest Rates

2,677,341

32%

62%

55,861,515

11%

Equity Index

801,083

6%

95%

4,887,541

-16%

Energy

491,940

31%

69%

7,103,418

4%

Agricultural

207,125

3%

83%

2,634,605

8%

FX

71,615

-14%

96%

767,273

-19%

Metals

55,110

30%

81%

1,324,382

44%

Trends & Highlights

  • Options volume surged 23% YoY, trading 4.3M contracts/day in November
  • 71% of volume was traded on CME Globex
  • Month-end open interest of 72.5M contracts represents an increase of 7% YoY– a 47th consecutive month of YoY growth
  • YTD through November, cumulative options volume stands at 915M contracts, compared to full-year 2017 volume of 872M contracts

New Tools

  • Economic Event Analyzer: Track potentially market-moving economic events and analyze the expiring options contracts available for managing associated risks.
  • Event Volatility Calculator: See how markets price upcoming economic and geopolitical events through the lens of options on futures forward volatility.

Interest Rate Options

 

Symbol

ADV

% YoY

% Globex

Month-End OI

OI % Puts

Eurodollar options

 

1,290,456

-4%

42%

49,323,042

61%

Eurodollars (Quarterly/Serial)

GE

509,896

4%

41%

31,251,219

61%

1-Year Mid-Curve

GE0

471,450

-4%

39%

10,159,563

64%

2-Year Mid-Curve

GE2

216,861

-8%

46%

5,010,163

61%

3-Year Mid-Curve

GE3

87,054

-32%

51%

2,709,303

48%

4-Year Mid-Curve

GE4

2,327

-40%

2%

169,344

20%

10-Year Note

 

947,503

102%

81%

3,615,488

43%

Quarterly/Serial

OZN

686,611

82%

81%

3,040,621

41%

Friday Weekly

ZN1-5

232,232

194%

81%

476,276

53%

Wednesday Weekly

WY1-5

28,661

124%

80%

98,591

38%

5-Year Note

 

247,193

134%

76%

1,911,759

71%

Quarterly/Serial

OZF

208,206

145%

73%

1,791,343

72%

Friday Weekly

ZF1-5

34,236

99%

93%

105,436

55%

Wednesday Weekly

WF1-5

5,467

44%

86%

15,034

51%

T-Bond

 

175,856

92%

90%

845,804

45%

Quarterly/Serial

OZB

144,956

112%

90%

772,840

45%

Friday Weekly

ZB1-5

26,286

35%

89%

53,887

47%

Wednesday Weekly

WB1-5

4,615

29%

94%

19,077

25%

2-Year Note

 

15,045

12%

69%

141,283

58%

Quarterly/Serial

OZT

13,666

5%

68%

137,610

57%

Friday Weekly

ZT1-5

662

877%

100%

3,619

65%

Ultra T-Bond

OUB

1,262

586%

11%

23,174

97%

Trends & Highlights

  • November was an all-time best month for Treasury options with ADV of 1.386M, +104% YoY
  • Weekly Treasury Options averaged a record 332K contract/day, +144% YoY, including 39K in Wednesday Weeklies
  • 5-Year Note options averaged 247K contracts/day, +134% YoY
  • Treasury options reached record open interest of 10.5 million contracts on November 21
  • Open interest in Long Green Eurodollar options (with up to 3 years to expiry) has grown to over 4 million contracts
  • Term Mid-Curves (3-,6-,9-month Mid-Curves on Whites): 95K contracts traded since launch

Equity Index Options

 

Symbol

ADV

% YoY

Month-End OI

OI % Puts

E-mini S&P 500 options

 

743,179

11%

4,467,197

63%

Quarterlies

ES

180,894

-3%

2,504,600

61%

Monday Weekly

E1A - E5A

63,173

100%

240,711

72%

Wednesday Weekly

E1C - E5C

70,516

71%

52,197

49%

Friday Weekly

EW1 - EW4

317,339

5%

1,019,604

68%

End-of-Month

EW

111,255

1%

650,085

57%

S&P 500 options

 

43,256

-35%

302,797

63%

Quarterlies

SP

3,016

-79%

106,455

57%

Monday Weekly

S1A - S5A

9,657

210%

75,629

84%

Wednesday Weekly

S1C - S5C

6,805

122%

4,577

83%

Friday Weekly

EV1 - EV4

16,291

-51%

69,633

55%

End-of-Month

EV

7,487

-43%

46,503

54%

E-mini NASDAQ-100 options

 

11,873

-29%

79,214

55%

Quarterlies

NQ

5,979

-13%

64,534

56%

Weekly

QN1 - QN4

4,178

-55%

10,623

47%

End-of-Month

QNE

1,717

246%

4,057

63%

E-mini Russell 2000 options

RTO

2,347

7%

26,843

53%

E-mini Dow ($5) options

YM

428

-7%

11,490

63%

Trends & Highlights

  • Monday and Wednesday S&P 500 weekly options (Standard and E-mini) averaged over 150K contracts/day, representing 19% of total S&P 500 options volume
  • E-mini Russell 2000 options increased 7% YoY to 2.3K contracts/day

Energy Options

 

Symbol

Settlement

ADV

% YoY

% Globex

Month-End OI

OI % Puts

Crude Oil options

 

 

319,176

44%

74%

4,474,201

49%

WTI Crude Oil

LO

Physical

278,740

46%

81%

3,056,198

46%

Brent Futures-Style

BZO

Financial

8,623

165%

70%

206,983

40%

WTI 1 Month CSO

WA

Physical

9,678

-7%

18%

409,475

71%

WTI Weeklies

LO1-5

Physical

5,050

45%

100%

3,613

58%

Brent European

BE

Financial

4,974

6012%

0%

112,765

53%

WTI 1 Month CSO

7A

Financial

6,864

11%

0%

142,400

59%

WTI-Brent Spread

BV

Financial

1,497

-55%

7%

105,044

58%

Natural Gas options

 

 

168,787

12%

62%

2,515,813

50%

Natural Gas European

LN

Financial

141,337

8%

61%

2,202,355

50%

Natural Gas American

ON

Physical

20,019

60%

85%

191,124

41%

Natural Gas 1-Month CSO

G3

Financial

5,864

188%

0%

72,510

60%

Natural Gas Daily

KD

Financial

288

-89%

38%

0

N/A

Refined Product options

 

 

3,770

51%

13%

84,494

30%

NY Harbor ULSD

OH

Physical

2,594

59%

14%

50,272

33%

RBOB Gasoline

OB

Physical

699

7%

20%

11,565

21%

Trends & Highlights

  • Energy options averaged a record 491K contracts/day in November, +31% YoY
  • WTI Crude Oil options (LO) averaged a record 278K contracts/day, +46% YoY
  • WTI weekly options (LO1-5) averaged a record 5K contracts/day, +45% YoY
  • Nat Gas options averaged 168K contracts/day with 62% traded on screen

Agricultural Options

 

Symbol

ADV

% YoY

% Globex

Month-End OI

OI % Puts

Corn

OZC

73,062

0%

82%

852,051

36%

Soybean

OZS

63,044

15%

85%

563,113

43%

SRW Wheat

OZW

25,408

11%

86%

259,170

38%

Lean Hogs

HE

10,829

4%

85%

267,353

56%

Live Cattle

LE

7,729

-34%

92%

185,996

52%

Soybean Meal

OZM

6,797

-17%

74%

109,803

44%

Soybean Oil

OZL

6,146

-34%

77%

67,041

53%

Weekly Corn

ZC1-5

4,571

74%

55%

26,249

30%

KC HRW Wheat

OKE

2,569

101%

71%

51,311

30%

Class III Milk

DC

1,779

-11%

94%

83,135

53%

Feeder Cattle

GF

1,176

-13%

94%

23,992

53%

Weekly Soybean

ZS1-5

1,009

-4%

85%

4,215

41%

Weekly Wheat

ZW1-5

494

157%

97%

2,134

44%

Trends & Highlights

  • Strong volume in weekly Corn options with 4.5K contracts/day, +74% YoY
  • Weekly Wheat options are beginning to gain traction, averaging nearly 500 contracts/day in November

FX Options

 

Symbol

ADV

% YoY

% Globex

Month-End OI

OI % Puts

EUR/USD

EUU

29,176

-26%

99%

267,670

51%

GBP/USD

GPU

17,824

-5%

89%

223,967

44%

JPY/USD

JPU

11,588

-12%

96%

124,525

39%

AUD/USD

ADU

7,127

47%

100%

76,155

48%

CAD/USD

CAU

5,733

-15%

100%

67,754

51%

MXN/USD

6M

77

-22%

75%

3,561

48%

NZD/USD

6N

48

N/A

100%

1,006

99%

CHF/USD

CHU

41

-66%

100%

2,635

52%

Trends & Highlights

  • Trading in AUD/USD options averaged 7.1K contracts/day, +47% YoY
  • Wednesday weekly options averaged 6.5K contracts/day. Open interest continues to grow hitting 49K contracts on 11/13

Metals Options

 

Symbol

ADV

% YoY

% Globex

Month-End OI

OI % Puts

Gold

OG

42,332

20%

81%

1,079,941

36%

Silver

SO

8,048

61%

78%

210,519

41%

Gold Weeklies

OG1-5

2,411

101%

99%

9,112

56%

Copper

HX

1,951

223%

82%

15,787

41%

Silver Weeklies

SO1-5

173

9450%

100%

1,113

66%

Platinum

PO

130

-26%

52%

5,945

7%

Palladium

PAO

45

-86%

46%

834

45%

Trends & Highlights

  • Liquidity continues to grow in Weekly Gold options (OG1-5), with ADV of 2.4K contracts/day, +101% YoY – a 33rd consecutive month of YoY growth
  • Copper options liquidity also remains strong, attracting average daily flow of 1.9K contracts/day, +223% YoY
  • Weekly Silver options are beginning to gain traction with improved liquidity on screen

Report Legend

Open Interest as of 11/30/18, unless otherwise specified
YoY – Compares current period 2018 to same period 2017
MoM – Compares current month 2018 to previous month 2018

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.

Copyright © 2018 CME Group Inc. All rights reserved