October Options Review

Reviews by Asset Class

OPTIONS COMPLEX OVERVIEW

Asset Class

ADV

% YoY

% Globex

Open Interest

OI % Puts

Total Options

3,583,491

44%

63%

66,947,601

60%

Interest Rates

2,348,638

81%

52%

49,378,628

62%

Equity Index

628,043

6%

91%

5,309,271

72%

Energy

281,502

-4%

67%

7,204,729

42%

Agricultural

200,864

0%

77%

2,923,728

46%

FX

80,627

27%

98%

915,089

52%

Metals

43,818

-3%

77%

1,216,156

35%

Trends & Highlights

  • Record open interest in Treasury options
  • E-mini Russell 2000 Index options gaining significant traction
  • Record screen trading in Natural Gas options (LN)
  • Relationship-based trading expanding to all Ag options effective January 8, 2018
  • Wednesday Weekly FX options now trading!
  • Copper options continue to reach new records of open interest

INTEREST RATE OPTIONS

 

Symbol

ADV

% YoY

% Globex

Open Interest

OI % Puts

Eurodollar options

 

1,510,052

82%

36%

43,874,164

63%

Eurodollars (Quarterly/Serial)

GE

533,140

17%

30%

24,894,628

62%

1-Year Mid-Curve

GE0

556,261

152%

41%

8,843,368

64%

2-Year Mid-Curve

GE2

273,746

220%

38%

6,290,281

66%

3-Year Mid-Curve

GE3

133,750

133%

34%

3,480,835

65%

4-Year Mid-Curve

GE4

10,541

6%

17%

344,452

60%

Treasury options

 

838,540

80%

82%

5,497,854

56%

10-Year Note

OZN

492,150

96%

81%

2,704,586

51%

5-Year Note

OZF

106,070

103%

82%

1,239,702

68%

T-Bond

OZB

82,557

32%

88%

514,773

47%

2-Year Note

OZT

10,723

92%

74%

380,024

74%

Fri Weekly 10-Year

ZN1-5

88,960

35%

82%

370,810

44%

Fri Weekly 5-Year

ZF1-5

22,772

133%

81%

165,045

63%

Fri Weekly T-Bond

ZB1-5

18,933

2%

91%

78,766

49%

Wed Weekly 10-Year

WY1-5

11,461

N/A

92%

21,222

53%

Wed Weekly 5-Year

WF1-5

2,253

N/A

77%

12,087

46%

Wed Weekly T-Bond

WB1-5

2,447

N/A

98%

6,961

38%

Trends & Highlights

  • Open interest in Treasury options reached a record 7.9M contracts on 10/26.
  • 10-Year Note options averaged 593K contracts/day, +87% YoY
  • Eurodollar Mid-Curve options ADV surged to 974K contracts/day, +161% YoY

EQUITY INDEX OPTIONS

 

Symbol

ADV

% YoY

Open Interest

OI % Puts

E-mini S&P 500 options

 

554,243

3%

4,600,820

73%

Quarterlies

ES

96,558

8%

1,788,503

71%

Weekly

EW1 - EW4

298,762

-18%

1,813,753

75%

Wednesday Weekly

E1C-E5C

37,800

67%

80,472

37%

Monday Weekly

E1A - E5A

31,915

N/A

45,748

75%

End-of-Month

EW

89,209

38%

872,344

68%

S&P 500 options

 

57,944

33%

577,120

65%

Quarterlies

SP

7,447

81%

127,559

53%

Weekly

EV1 - EV4

35,497

17%

306,822

75%

Wednesday Weekly

S1C-S5C

2,684

17%

7,375

46%

Monday Weekly

S1A - S5A

2,409

N/A

1,950

23%

End-of-Month

EV

9,907

54%

123,370

54%

E-mini NASDAQ-100 options

 

13,295

46%

100,087

68%

Quarterlies

NQ

1,829

16%

31,439

57%

Weekly

QN1 - QN4

10,886

51%

65,829

72%

End-of-Month

QNE

580

89%

2,819

81%

E-mini Russell 2000 options

RTO

2,226

N/A

22,569

70%

E-mini Dow ($5) options

YM

335

32%

8,658

59%

Trends & Highlights

  • Looking for new opportunities? Look no further than options on Russell 2000.
    • October ADV: 2,226, +23% MoM
    • October Average Daily Open Interest: 21,660, +71% MoM

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

 

 

149,216

-14%

76%

4,591,396

46%

WTI Crude Oil

LO

Physical

130,830

-13%

81%

3,073,532

42%

WTI-Brent Spread

BV

Financial

4,597

643%

26%

200,363

44%

WTI 1 Month CSO

WA

Physical

4,178

-62%

61%

479,314

56%

Brent Futures-Style

BZO

Financial

3,039

52%

27%

99,325

46%

WTI Weeklies

LO1-5

Physical

2,682

178%

100%

7,734

44%

WTI 1 Month CSO

7A

Financial

2,467

46%

1%

120,684

41%

WTI Average Price

AO

Financial

1,942

-21%

0%

376,410

55%

Natural Gas options

 

 

128,948

13%

59%

2,437,352

35%

Natural Gas European

LN

Financial

112,352

18%

57%

2,158,839

34%

Natural Gas American

ON

Physical

10,257

-31%

97%

102,455

39%

Natural Gas 1 Month CSO

G3

Financial

2,467

46%

1%

120,684

41%

Natural Gas Daily

KD

Financial

2,353

56%

63%

0

N/A

Refined Product options

 

 

2,751

-10%

22%

112,677

28%

NY Harbor ULSD

OH

Physical

1,780

1%

16%

69,956

28%

RBOB Gasoline

OB

Physical

783

32%

40%

17,376

37%

Trends & Highlights

  • A record 57% of Natural Gas options (LN) traded electronically, with record electronic ADV of 64K contracts/day
  • Daily Natural Gas options (KD) grew 56% YoY with 63% traded electronically
  • WTI-Brent Spread options (BV) surged 643% YoY with 4.6K contracts traded per day

AGRICULTURAL OPTIONS

 

Symbol

ADV

% YoY

% Globex

Open Interest

OI % Puts

Corn

OZC

74,293

1%

73%

1,295,420

42%

Soybean

OZS

57,257

0%

82%

383,367

44%

SRW Wheat

OZW

21,606

-1%

80%

357,635

48%

Live Cattle

LE

12,518

-9%

82%

174,280

60%

Lean Hogs

HE

11,623

9%

86%

160,793

60%

Soybean Oil

OZL

7,215

-6%

66%

100,888

45%

Soybean Meal

OZM

5,951

-14%

69%

121,795

47%

Weekly Corn

ZC1-5

2,206

53%

60%

11,321

30%

Feeder Cattle

GF

1,740

-4%

85%

30,863

63%

Class III Milk

DC

1,535

-5%

69%

78,168

51%

KC HRW Wheat

OKE

1,236

133%

74%

48,883

36%

Weekly Soybean

ZS1-5

951

3%

94%

2,741

52%

Cash-Settled Cheese

CSC

813

63%

63%

43,844

57%

Trends & Highlights

  • Relationship-based trading, in the form of block trades and certain types of crosses on Globex, will be expanded to all Ag options effective January 8, 2018
  • R- Cross “pre-cross” period decreasing from 15 seconds to 5 seconds January 8th
  • November Soybean Implied vol near single digits
  • Cash-Settled Cheese options reached open interest of 43.8K contracts on 10/31, while ADV increased 63% YoY to 813 contracts/day

FX OPTIONS

 

Symbol

ADV

% YoY

% Globex

Open Interest

OI % Puts

EUR/USD

EUU

38,759

50%

99%

367,641

54%

GBP/USD

GPU

14,713

2%

100%

177,160

47%

JPY/USD

JPU

11,826

1%

98%

156,946

51%

CAD/USD

CAU

8,397

54%

97%

105,211

51%

AUD/USD

ADU

5,752

3%

97%

85,821

50%

MXN/USD

6M

627

57%

22%

8,492

90%

CHF/USD

CHU

553

110%

100%

13,815

94%

Trends & Highlights

  • Wednesday FX Options Now Trading: 2,864 contracts traded in first 3 days
  • Open interest in FX options increased 27% YoY
    • EUR/USD open interest +46% YoY
    • CAD/USD open interest +61% YoY

METALS OPTIONS

 

Symbol

ADV

% YoY

% Globex

Open Interest

OI % Puts

Gold

OG

36,572

-7%

78%

1,045,461

35%

Silver

SO

4,934

-2%

73%

126,955

35%

Gold Weeklies

OG1-5

855

198%

95%

6,113

57%

Copper

HX

813

236%

90%

12,218

53%

Palladium

PAO

405

107%

13%

5,640

13%

Iron Ore

ICT

122

192%

0%

15,916

45%

Platinum

PO

93

-48%

47%

3,496

23%

Trends & Highlights

  • Copper options continue to grow on the heels of a dramatic improvement to liquidity
  • Weekly Gold options ADV increased 198% YoY – a 20th consecutive month of YoY growth

Report Legend

Open Interest as of 10/31/17, 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.

Read More Reports

View previous months' options reports over the last year.

View Archived Reports

Intra-Month Updates

Follow CME Group Options

About CME Group

As the world's leading and most diverse derivatives marketplace, CME Group is where the world comes to manage risk. Comprised of four exchanges - CME, CBOT, NYMEX and COMEX - we offer the widest range of global benchmark products across all major asset classes, helping businesses everywhere mitigate the myriad of risks they face in today's uncertain global economy.

Follow us for global economic and financial news.

CME Group on Twitter

CME Group on Facebook

CME Group on LinkedIn