April 2021 Agricultural Options Update

• Corn options open interest surpassed 2M contracts, a level not seen in the month of April since 2013.
• Measured by the CME CVOL Index, Corn and SRW Wheat increased by approximately 10 volatility points during April ‒ closing in on the 2019 high. Also, CVOL Skew showed a dramatic increase in call premiums vs. puts in SRW Wheat. (see chart)
• Market participants have ramped up C-Cross activity to help find the best liquidity in volatile times. Nine percent of all Ag options activity transacted as a cross, equaling 31K contracts per day. In percentage terms, cross transactions have never been more active.
• Short-term options continue to be utilized. Open interest hit 176K contracts and volume was up 139% in Short-Dated New Crop options. Weekly volume was up 122% YoY with 37K contracts of open interest to close out the month ‒ the highest level ever for the month of April.

Corn, SRW Wheat, and Soybean volatility – Looking at the CVOL Index, which measures 30-day constant maturity, we see Corn and SRW Wheat increase by approximately 10 volatility points in April. It is interesting to note that Soybean volatility has not followed the same trajectory.

Average July implied volatility in the month of April ‒ As the CVOL Index is showing, recent volatility has increased dramatically, but to put things in historical context, 2021 is a different environment compared to 2008 and 2009.

*Powered by QuikStrike

CVOL Skew – The chart below shows historical skew for Corn, Soybeans, and SRW Wheat. As you can see from the chart, SRW Wheat (orange line) saw a dramatic increase in calls relative to puts during April. The CVOL Skew Index looks at the 25-delta call and put.

C-Cross – Given the increase in volatility and limit moves experienced during April, market participants are reaching out to brokers to help facilitate orders via C-Cross in record fashion.

Steven A Stasys
Senior Director, Agricultural Options
steven.stasys@cmegroup.com
+312-648-3822