August 2021 Agricultural Options Update

Monthly Highlights

  • After a dramatic summer, December Corn implied volatility returns to average historical levels. September WASDE occurs the same day the Week 2 options expire, giving participants a way to navigate fresh yield projections.
  • December Soybean Oil volatility set records throughout the year and is still trading at historical elevated levels. Soybean implied volatility broke below 20% for the second time this year.
  • Lean Hog put skew is historically high with AFS fears driving up downside protection. A 25-delta put is trading around nine vol points higher than a 25-delta call.
  • Short Dated New Crop options had the most active August ever with 10K contracts per day transacting. For corn, the product now shifts to a December 22 underlying. Open interest is already approaching 12K contracts primarily in the October and December maturities.

Option Product

August ADV

Year/Year % Change







Chicago SRW Wheat



Soybean Oil



Short-Dated New Crop Option



Soybean Meal






Live Cattle



Ag Weekly Option



KC HRW Wheat



Class III Milk



Calendar Spread Option



December Corn implied volatility – The green line showcases December 2021 implied volatility vs. a 13-year average.

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Soybean Oil implied volatility – The green line showcases December 2021 implied volatility vs. a 13-year average.

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Short-term options – The below chart shows the market share of Weekly and Short-Dated New Crop options for corn along with the CVL Index (Corn Volatility Index). August experienced the lowest volatility since February with the SDNC product setting a record ADV for the month

CME Data

Lean Hog put skew – With the use of the CVOL Skew Index you can see the relationship of call volatility vs. put volatility. The Skew Index looks at the difference between call volatility minus put volatility. As the index trends down, or more negative, this signifies implied volatility for the downside becoming more expensive than upside protection. Looking back 13 years, put implied volatility is at historic levels vs. calls.

Contact Information

Steven A Stasys
Senior Director, Agricultural Options

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