September Options Review

Reviews by Asset Class

Options Complex Overview

Asset Class

ADV

% YoY

% Globex

Month-End OI

OI % YoY

Total Options

3,531,420

-2%

64%

65,313,565

8%

Interest Rates

2,237,466

-2%

52%

48,425,825

12%

Equity Index

620,341

-4%

94%

4,365,735

-17%

Energy

315,724

10%

71%

6,639,076

-6%

Agricultural

235,286

8%

80%

3,598,801

16%

FX

70,562

-30%

99%

730,377

-20%

Metals

52,041

-14%

74%

1,553,751

33%

Trends & Highlights

  • Month-end open interest of 65M contracts represents an increase of 8% YoY– a 45th consecutive month of YoY growth
  • Through the first three quarters of 2018, options average daily volume is at 3.84M contracts/day, +9% YoY
  • Sign up for Block Trade Alerts - Get email alerts when privately negotiated block trades are submitted in the markets you care about
  • QuikStrike® end-of-day implied option volatility curves for more than 40 CME Group products now available in CME DataMine: Learn more

Interest Rate Options

 

Symbol

ADV

% YoY

% Globex

Month-End OI

OI % Puts

Eurodollar options

 

1,334,185

-4%

32%

42,701,789

68%

Eurodollars (Quarterly/Serial)

GE

586,147

2%

35%

27,035,952

65%

1-Year Mid-Curve

GE0

503,045

19%

26%

9,335,026

69%

2-Year Mid-Curve

GE2

183,277

-27%

41%

4,155,963

66%

3-Year Mid-Curve

GE3

59,846

-53%

40%

1,957,976

50%

4-Year Mid-Curve

GE4

603

-96%

64%

194,270

16%

10-Year Note

 

587,348

-4%

78%

3,043,279

48%

Quarterly/Serial

OZN

422,132

-12%

78%

2,580,818

48%

Friday Weekly

ZN1-5

142,479

19%

79%

374,078

42%

Wednesday Weekly

WY1-5

22,737

79%

88%

88,383

64%

T-Bond

 

153,154

13%

92%

898,188

53%

Quarterly/Serial

OZB

121,067

16%

93%

827,528

52%

Friday Weekly

ZB1-5

27,745

2%

89%

61,450

56%

Wednesday Weekly

WB1-5

4,342

8%

98%

9,210

77%

5-Year Note

 

133,516

9%

80%

1,540,029

67%

Quarterly/Serial

OZF

102,389

-4%

79%

1,436,956

70%

Friday Weekly

ZF1-5

27,111

95%

80%

94,994

28%

Wednesday Weekly

WF1-5

4,295

115%

100%

8,195

40%

2-Year Note

 

28,875

49%

71%

231,441

54%

Quarterly/Serial

OZT

28,341

47%

70%

228,823

54%

Friday Weekly

ZT1-5

247

449%

89%

2,502

40%

Trends & Highlights

  • Weekly options accounted for a record 25% of Treasury options volume in September, with over 228K traded per day
  • Treasury Bond options averaged over 153K contracts/day, +13% YoY

Equity Index Options

 

Symbol

ADV

% YoY

Month-End OI

OI % Puts

E-mini S&P 500 options

 

570,548

-1%

3,988,555

66%

Quarterlies

ES

163,250

9%

1,597,051

65%

Monday Weekly

E1A - E5A

44,383

26%

110,695

85%

Wednesday Weekly

E1C - E5C

50,801

16%

52,500

81%

Friday Weekly

EW1 - EW4

202,047

-17%

1,461,955

71%

End-of-Month

EW

110,066

6%

766,354

56%

S&P 500 options

 

38,018

-31%

283,537

66%

Quarterlies

SP

7,089

-28%

47,702

54%

Monday Weekly

S1A - S5A

4,943

68%

34,524

94%

Wednesday Weekly

S1C - S5C

4,324

35%

8,313

31%

Friday Weekly

EV1 - EV4

13,602

-52%

151,764

65%

End-of-Month

EV

8,060

-26%

41,234

67%

E-mini NASDAQ-100 options

 

9,745

-16%

63,703

71%

Quarterlies

NQ

4,633

28%

29,155

69%

Weekly

QN1 - QN4

3,488

-34%

32,260

74%

End-of-Month

QNE

1,624

-37%

2,288

66%

E-mini Russell 2000 options

RTO

1,693

-6%

24,297

73%

E-mini Dow ($5) options

YM

336

61%

5,641

59%

Trends & Highlights

  • Monday and Wednesday S&P 500 weekly options (Standard and E-mini) averaged over 104K contracts/day, representing 22% growth YoY and accounting for 17% of total Equity options volume.
  • S&P 500 options block trade enhancements, including allowance of delta-neutral S&P 500 option blocks View SER
    • Lower block threshold of 100 contracts (previously 250 contracts) during European and Asian Trading Hours only
    • Extended block trade reporting window of 15 min (previously 5) during European and Asian Trading Hours only

Energy Options

 

Symbol

Settlement

ADV

% YoY

% Globex

Month-End OI

OI % Puts

Crude Oil options

 

 

196,924

18%

75%

4,400,729

46%

WTI Crude Oil

LO

Physical

168,853

26%

83%

2,968,170

45%

Brent Futures-Style

BZO

Financial

13,045

166%

35%

242,084

39%

WTI 1 Month CSO

WA

Physical

4,558

-62%

5%

283,105

64%

WTI Weeklies

LO1-5

Physical

3,160

22%

100%

3,116

50%

WTI Average Price

AO

Financial

2,271

-60%

0%

383,939

52%

WTI 1 Month CSO

7A

Financial

2,089

-36%

0%

110,475

50%

WTI-Brent Spread

BV

Financial

1,877

-42%

3%

199,171

38%

Natural Gas options

 

 

116,363

0%

66%

2,139,506

49%

Natural Gas European

LN

Financial

102,788

2%

65%

1,890,570

50%

Natural Gas American

ON

Physical

10,043

23%

95%

148,385

42%

Natural Gas 1-Month CSO

G3

Financial

1,689

-10%

1%

62,120

51%

Natural Gas Daily

KD

Financial

722

-75%

58%

0

N/A

Refined Product options

 

 

1,952

-39%

16%

63,711

33%

NY Harbor ULSD

OH

Physical

1,313

-3%

15%

37,030

40%

RBOB Gasoline

OB

Physical

476

-70%

27%

8,307

32%

Trends & Highlights

  • WTI Crude Oil options (LO) averaged 168K contracts/day, +26% YoY with 83% traded on screen
  • Brent Crude Oil options (BZO) averaged a record 13K contracts/day, +166% YoY
  • Open interest in BZO reached a record 307K contracts on October 5

Agricultural Options

 

Symbol

ADV

% YoY

% Globex

Month-End OI

OI % Puts

Corn

OZC

89,035

12%

81%

1,395,176

37%

Soybean

OZS

56,139

-19%

85%

707,369

39%

SRW Wheat

OZW

36,558

69%

78%

424,079

39%

Lean Hogs

HE

13,314

-6%

92%

277,173

57%

Soybean Meal

OZM

10,357

64%

70%

168,863

39%

Live Cattle

LE

10,210

3%

83%

187,446

55%

Soybean Oil

OZL

6,908

3%

66%

88,269

48%

KC HRW Wheat

OKE

3,847

294%

55%

82,995

29%

Class III Milk

DC

1,939

29%

90%

86,089

55%

Weekly Corn

ZC1-5

1,595

-50%

67%

6,222

57%

Feeder Cattle

GF

1,284

-28%

96%

24,649

55%

Weekly Soybean

ZS1-5

924

-26%

89%

1,353

51%

Weekly Wheat

ZW1-5

389

129%

98%

742

91%

Trends & Highlights

  • Wheat Complex continues to show strong volume with HRW implied volatility trading 1% higher than SRW.
  • HRW/SRW Wheat call skew showing strength compared to historical trends
  • Open Interest continues to climb in Lean Hog options given the recent volatility
    • In September, the most active strike was the Dec 50 put trading 12,090 times

FX Options

 

Symbol

ADV

% YoY

% Globex

Month-End OI

OI % Puts

EUR/USD

EUU

29,678

-33%

99%

276,979

56%

JPY/USD

JPU

9,461

-49%

99%

114,539

45%

GBP/USD

GPU

15,661

-13%

98%

188,836

50%

CAD/USD

CAU

8,312

-34%

100%

74,400

52%

AUD/USD

ADU

7,270

-3%

100%

70,185

45%

CHF/USD

CHU

78

-45%

100%

3,339

50%

MXN/USD

6M

102

1593%

38%

2,099

45%

Trends & Highlights

  • Wednesday weekly options averaged 5.5K contracts/day
  • FX options expiration time changing from 2 p.m. Chicago to 10 a.m. New York Time. Here’s what you need to know…
    • Why: To align our FX options with the primary OTC market convention
    • When: The expiration time will change to 10 a.m. New York (10 a.m. ET) for all contracts expiring after June 7, 2019, nearly a year from now
    • All the codes you use today will remain the same.
    • CME Group systems will continue to refer to the Chicago time convention for consistency. Thus 10 a.m. New York (10 a.m. ET) will appear as 9 a.m. CT in our clearing and trading systems.
    • Get all the details

Metals Options

 

Symbol

ADV

% YoY

% Globex

Month-End OI

OI % Puts

Gold

OG

39,453

-23%

73%

1,289,311

33%

Silver

SO

7,956

22%

76%

226,130

38%

Gold Weeklies

OG1-5

2,036

172%

99%

5,667

40%

Copper

HX

2,045

130%

77%

23,132

46%

Platinum

PO

255

101%

31%

5,354

18%

Palladium

PAO

110

-44%

55%

2,042

51%

Trends & Highlights

  • Silver options (SO) averaged nearly 8K contracts/day, +22% YoY
  • Weekly Gold options (OG1-5) ADV remained strong at 2K contracts/day, +172% YoY – a 31st consecutive month of YoY growth
  • Copper options averaged 2K contracts/day, +130% YoY

Report Legend

Open Interest as of 09/28/18, unless otherwise specified
YoY – Compares current period 2018 to same period 2017
MoM – Compares current month 2018 to previous month 2018

 

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