• On Friday May 12, the USDA will release the WASDE report. Weekly options had 9K ADV in April, up 175% YoY with an average open interest of 25K contracts. Week 2 options expire the same day as the May 12 WASDE report, aligning report risk to the options expiration.
  • New Crop Weekly options open interest ended the month at 2,152 contracts and had an ADV of 181. 242 unique account numbers traded the product since launch, helping manage short-term risk. Week 2 New Crop Weekly options contracts expire the same day as the May WASDE report, helping traders manage their December Corn and November Soybean price risk.
  • All-time ADV and open interest record for Calendar Spread options were established in April. The product held 140K contracts of open interest on April 18 and averaged 4.9K contracts per day in the month.
  • Using CVOL to analyze Chicago Wheat implied volatility compared to Corn and Soybeans, you can see a persistent risk premium compared to historical relationships.
  • The Agricultural options complex hit record block activity with over 10K contracts trading per day in the month.
Option Products April ADV Year/Year % Change
Corn 98,462 -24%
Soybean 66,164 7%
Chicago SRW Wheat 24,272 41%
Soybean Meal 16,068 87%
Live Cattle 14,027 14%
Short-Dated New Crop Option 13,481 -5%
Soybean Oil 11,149 -16%
Hogs 10,791 36%
Ag Weekly Option 10,644 215%
Calendar Spread Option 4,871 86%
KC HRW Wheat 4,277 53%
Feeder Cattle 2,596 32%

Source: CME Group

Short Term Options ADV

  Weekly Options Short Dated New Crop Options New Crop Weekly Options
  April ADV april ADV April ADV
Corn 4,835 8,592 169
Soybean 2,412 4,369 12
Chicago SRW Wheat 1,429    
Soybean Meal 608    
Soybean Oil 46    

Source: CME Group

Short-term options

The Agricultural product suite has three types of short-term options (SDNC, New Crop Weekly & Weekly) which made up over 10% of all Grain and Oilseed activity in April, averaging over 24K contracts a day. Market participants are refining risk and utilizing short-term options to help navigate today’s headline risk across the entire Grain and Oilseed complex.

Calendar Spread options

Futures spread risk is a large factor in Grain and Oilseed trading, a record of 299 unique account numbers traded Calendar Spread options (CSOs) in April, helping set record volume and open interest records in the product. As we enter the summer months and the old crop/new crop spreads become front in center, learn more about CSOs.

CVOL – Chicago Wheat, Corn, and Soybeans

Chicago Wheat implied volatility is historically higher than Soybean volatility but can be lower than in Corn, especially in the North American summer months. Since March of last year, Wheat CVOL (WVL) has not dropped below 30 and is trading at a higher premium to Corn and Soybeans that is historically in place. 

Block Activity

Multiple forms of execution are available to source liquidity in the Agricultural options market. Recently, market participants have utilized block transactions to help execute large quantity orders.

All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.

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