October Options Review

Reviews by Asset Class

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

Options Complex Overview

Commentary

  • October ADV of 3.7M, although down 15% YoY, was in line with seasonal expectations​ as October is a seasonally low ADV month - usually in the bottom 25% for monthly ADV for any given year. An outlier of course being Oct 2018 which saw strong volumes as equity markets plunged due to rising trade tensions and Federal Reserve rate hikes
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Trading highlights

  • Options open interest grew 9% YoY to 79M contracts – the 46th consecutive month of YoY growth
  • Ag options ADV grew 14% YoY
  • Metals options ADV of 70K was the 9th highest monthly ADV on record

October Stats

Asset Class

ADV

% YoY

% Globex

Month-End OI

OI % YoY

Total Options

3,773,290

-15%

68%

79,311,086

9%

Interest Rates

2,530,376

-7%

58%

63,361,305

16%

Equity Index

675,506

-37%

96%

4,223,888

-19%

Energy

229,855

-33%

70%

5,667,796

-20%

Agricultural

219,095

14%

87%

3,340,739

1%

Metals

70,096

12%

76%

2,017,040

21%

FX

48,362

-32%

98%

700,318

-13%

Interest Rate Options

Commentary

  • The Federal Reserve delivered its third rate cut as part of what is described as a "mid-cycle adjustment". Open Interest increased 16% in interest rate options, signaling participation remains strong despite lower volatility compared to Oct-2018.

Trading highlights

  • The short-end of the Treasury curve continues to outperform within the Treasury option complex, with volumes in 2-Year and 5-Year note options up 70% and 66% respectively
  • Wednesday weekly Treasury options saw a record volume day of 145K contracts on Friday, Oct. 11
  • Fed Fund options have seen an uptick in activity with streaming quotes currently available on screen
  • SOFR options coming January 6, 2020, pending regulatory review

October Stats

 

Symbol

ADV

% YoY

% Globex

Month-End OI

OI % YoY

Eurodollar options

 

1,355,191

-7%

41%

56,299,222

20%

Eurodollars (Quarterly/Serial)

GE

947,289

29%

42%

42,857,991

43%

1-Year Mid-Curve

GE0

289,356

-31%

37%

7,940,021

-19%

2-Year Mid-Curve

GE2

78,828

-63%

34%

3,577,797

-21%

3-Year Mid-Curve

GE3

39,096

-52%

56%

1,839,681

-24%

4-Year Mid-Curve

GE4

483

-25%

53%

82,232

-60%

10-Year Note

 

731,529

-17%

78%

3,480,327

-16%

Quarterly/Serial

OZN

556,449

-20%

77%

3,074,504

-12%

Friday Weekly

ZN1-5

146,509

-6%

81%

388,645

-35%

Wednesday Weekly

WY1-5

28,571

-3%

91%

17,178

-9%

5-Year Note

 

263,660

66%

71%

2,179,584

5%

Quarterly/Serial

OZF

210,334

57%

68%

1,895,176

-5%

Friday Weekly

ZF1-5

47,030

150%

81%

278,751

245%

Wednesday Weekly

WF1-5

6,296

9%

94%

5,657

7%

T-Bond

 

150,101

-32%

87%

979,976

-9%

Quarterly/Serial

OZB

120,218

-33%

85%

830,446

-13%

Friday Weekly

ZB1-5

26,684

-22%

96%

142,692

9%

Wednesday Weekly

WB1-5

3,200

-43%

98%

6,838

322%

2-Year Note

 

28,470

70%

77%

310,838

58%

Quarterly/Serial

OZT

28,273

72%

77%

306,838

59%

Friday Weekly

ZT1-5

197

-19%

89%

4,000

23%

Ultra T-Bond

OUB

874

65%

6%

59,908

270%

Ultra 10-Year Note

OTN

1

-70%

0%

8,583

21358%

Fed Funds

OZQ

551

N/A

65%

42,867

2579%

Equity Index Options

Commentary

  • The S&P closed at a record high on October 30 after the Federal Reserve announced another cut in interest rates, signaling that the economy would not require further cuts in the near future.

Trading highlights

  • E-mini Russell 2000 options ADV +16% YoY, OI +13%
  • 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

October Stats

 

Symbol

ADV

% YoY

Month-End OI

OI % YoY

E-mini S&P 500 options

 

633,811

-37%

3,909,468

-19%

Quarterlies

ES

133,031

-21%

2,074,080

-1%

Monday Weekly

E1A-E5A

55,590

-24%

82,999

77%

Wednesday Weekly

E1C-E5C

73,480

-5%

49,696

28%

Friday Weekly

EW1-EW4

289,668

-44%

1,117,152

-34%

End-of-Month

EW

82,042

-52%

585,541

-37%

S&P 500 options

 

29,468

-38%

207,042

-29%

Quarterlies

SP

2,036

-32%

64,300

-24%

Monday Weekly

S1A-S5A

2,718

-53%

5,883

1025%

Wednesday Weekly

S1C-S5C

2,647

-51%

1,897

27%

Friday Weekly

EV1-EV4

18,776

-28%

108,316

-23%

End-of-Month

EV

3,291

-54%

26,646

-59%

E-mini NASDAQ-100 options

 

8,913

-36%

71,175

-6%

Quarterlies

NQ

1,625

-45%

41,337

6%

Weekly

QN1-QN4

6,074

-32%

25,091

-2%

End-of-Month

QNE

1,214

-41%

4,747

-58%

E-mini Russell 2000 options

 

3,187

16%

33,464

13%

Quarterlies

RTO

948

31%

19,045

36%

Weekly

R1E-R4E

1,959

15%

12,066

-4%

End-of-Month

RTM

280

-9%

2,353

-26%

Energy Options

Commentary

  • Energy volumes eased as the crude oil market stabilized following September's attack on Saudi Aramco's facilities. The market fell to the lower end of the recent trading range. Heating Oil futures saw strong volumes as seasonal restocking and concerns about tight winter supplies of low-sulfur diesel have continued to worry traders.

Trading highlights

  • Despite subdued volumes, open interest in Crude Oil options climbed to 3.46M lots, +47% YoY
  • Natural Gas calendar spread options remain active, with 1-Month CSO ADV +170%, and 6-Month CSO ADV +184% YoY
  • Heating oil average price options showed some life with ADV +113% YoY
  • Chicago Ethanol (Platts) Average Price options volume +155%, OI +121%

October Stats

 

Symbol

Settlement

ADV

% YoY

% Globex

Month-End OI

OI % YoY

Crude Oil options

 

 

125,878

-42%

78%

3,463,536

47%

WTI Crude Oil

LO

Physical

106,976

-39%

86%

2,300,030

-27%

WTI 1 Month CSO

WA

Physical

6,334

-35%

5%

414,975

25%

WTI 1 Month CSO

7A

Financial

3,663

-3%

0%

147,185

4%

Brent Futures-Style

BZO

Financial

3,426

-80%

75%

67,594

-64%

WTI Weeklies

LO1-5

Physical

2,358

-42%

100%

10,808

52%

WTI Average Price

AAO

Financial

1,056

27%

0%

329,938

-6%

WTI-Brent Spread

BV

Financial

973

-30%

27%

101,000

11%

Natural Gas options

 

 

101,882

-19%

62%

2,117,007

-16%

Natural Gas European

LN

Financial

88,059

-21%

65%

1,800,580

-18%

Natural Gas 1 Month CSO

G4

Financial

5,952

170%

7%

142,800

75%

Natural Gas American

ON

Physical

6,036

-44%

100%

102,226

-50%

Natural Gas 6 Month CSO

G6

Financial

717

184%

0%

26,250

97%

Refined Product options

 

 

1,656

-30%

18%

65,720

27%

NY Harbor ULSD

OH

Physical

1,069

-20%

19%

43,955

-3%

NY Harbor ULSD Average Price

AT

Financial

319

113%

0%

11,968

-19%

RBOB Gasoline

OB

Physical

260

-70%

34%

8,584

-29%

Chicago Ethanol (Platts) Average Price options

CVR

 

419

155%

0%

13,798

121%

Agricultural Options

Commentary

  • African swine fever continues to spread through Asia, with outbreaks in Europe and Africa too. China is the world's top producer and consumer of pork and in October, the Chinese Ministry of Agriculture reported China's hog herd was down 41% YoY, which is more than twice the entire US herd.
  • Live hog prices in China soared to $7.07/kg ($3.21/lb) in October and continue to rise while US live hog prices are $0.60-$0.70/lb. Total global protein production is declining as a result of ASF and global meat exports are expected to increase 7% YoY in 2019 and another 6% in 2020.

Trading highlights

  • Hogs volume +25% YoY, OI +58%
  • Live cattle volume +35% YoY, OI +4%
  • Corn volume +50% YoY, OI +5%
  • The consecutive corn CSO’s show strong activity with the Dec-March spread tightening throughout October
  • Weekly Ag options continue to outperform on a YoY basis

October Stats

 

Symbol

ADV

% YoY

Month-End OI

OI % YoY

Corn

OZC

92,066

50%

1,491,904

5%

Soybean

OZS

50,843

-7%

371,383

-6%

Chicago SRW Wheat

OZW

20,044

-35%

363,913

-20%

Lean Hogs

HE

14,545

25%

386,640

58%

Live Cattle

LE

10,275

35%

180,590

4%

Soybean Meal

OZM

7,762

-12%

104,345

-45%

Soybean Oil

OZL

7,392

11%

95,717

-2%

Weekly Corn

ZC1-5

4,775

281%

9,012

-7%

KC HRW Wheat

OKE

3,660

113%

86,439

-4%

Grain Calendar Spread options

 

1,861

197%

74,446

70%

Class III Milk

DC

1,796

-1%

60,843

-14%

Feeder Cattle

GF

971

-14%

29,714

23%

Weekly Soybeans

ZS1-5

883

6%

4,498

94%

Weekly SRW Wheat

ZW1-5

312

-32%

1,869

-48%

Weekly HRW Wheat

OE1-5

207

18976%

178

709%

FX Options

Commentary

  • Although U.K. lawmakers endorsed Prime Minister Boris Johnson's Brexit deal, Parliament voted against the proposal to push it through by the end of the month, which kept FX options volatility subdued.

Trading highlights

  • JPY/USD open interest +12% YoY
  • CHF/USD ADV +128% YoY, OI +45%

October Stats

 

Symbol

ADV

% YoY

Month-End OI

OI % YoY

EUR/USD

EUU

26,749

-10%

278,312

0%

JPY/USD

JPU

9,310

-2%

127,782

12%

GBP/USD

GPU

8,293

-47%

141,133

-25%

AUD/USD

ADU

4,607

-37%

67,846

-3%

CAD/USD

CAU

3,964

-52%

55,300

-26%

CHF/USD

CHU

179

128%

4,842

45%

NZD/USD

6N

83

N/A

874

N/A

MXN/USD

6M

40

-60%

2,488

19%

Metals Options

Commentary

  • While slower than previous months, October was another strong month for metals options. Continued geopolitical and economic uncertainty coupled with an increasingly accommodative fed drove interest in precious metals during the period. Option volume was strong in precious metals while also seeing solid activity in Copper options (HX), despite continued low volatility in the copper market.

Trading highlights

  • Gold options volume +34% YoY, OI +25%. Open interest in underlying Gold futures hit a record high of 691K as of the writing of this report on Nov 5
  • Weekly Gold options (OG1-5) registered their a 44th consecutive month of YoY growth
  • Copper options volume +108% YoY

October Stats

 

Symbol

ADV

% YoY

% Globex

Month-End OI

OI % YoY

Gold

OG

51,930

34%

71%

1,708,953

25%

Gold Weeklies

OG1-5

7,618

224%

91%

36,893

188%

Silver

SO

7,419

21%

93%

219,551

-11%

Copper

HX

2,418

108%

83%

38,490

26%

Silver Weeklies

SO1-5

450

213%

93%

3,207

206%

Platinum

PO

149

-12%

34%

5,276

-12%

Palladium

PAO

70

-55%

49%

2,239

5%

Open Interest as of 10/31/19, unless otherwise specified
YoY – Compares current period 2019 to same period 2018, MoM – Compares current month 2019 to previous month 2019

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