April 2022 Highlights
  • Lean Hog futures have been rallying for the past five months until April. The Lean Hog call skew has been slowly strengthening since October, which was indicated by the CVOL Skew Index and spiked further in the face of April’s decline.
  • December Corn futures hit all-time highs for April, December 22 options open interest is building and the put/call ratio is increasing indicating more traders establishing put positions relative to calls compared to earlier in the year.
  • Soybean Oil futures hit all-time highs this April, even with the given global supply situation, but implied volatility is staying somewhat muted compared to early March.
  • Short Dated New Crop options (ADV 14K/ OI 190K) and Calendar Spread options (ADV 2.7K ADV/OI 111K) posted record volume and open interest for April given current spread market dynamics. 

Option Product

April ADV

Year/Year % Change







Chicago SRW Wheat



Soybean Meal



Soybean Oil







Live Cattle




Short Dated New Crop Option



Ag Weekly Option



KC HRW Wheat



Calendar Spread Option



Feeder Cattle




Lean Hogs The purple line is showing Skew for Lean Hogs going from -9 to +1 over the last six months.  The Skew Index looks at Up Side skew (out of the money calls) minus Down Side skew (out of the money puts), so a more positive number shows strength to upside volatility. 

December Corn – Starting in 2022, standard December options had a little over 100K contracts outstanding, 70K being calls and 40K being puts. At the end of April, close to 700K contracts are outstanding with ~400K being calls and ~285K being puts. A put/call ratio below one represents more calls than puts outstanding, as the ratio approaches one, more put positions are being established versus calls.

December Corn – Overlaying December futures price with the put/call ratio can help show where market participants are establishing option positions given price movements.

Soybean Oil – Looking at the CVOL Index for Soybean Oil (SOVL) you see a peak volatility of 52 on March 4, then at the end of April, the index is trading around 33 with futures contracts trading at all-time highs (dotted line).

Calendar Spread (CSO’s) & Short Dated New Crop (SDNC) options – Given the large swings in futures spreads and increased liquidity, record volume and open interest occurred for April as market participants look to manage spread risk and New Crop exposure through options.

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