At-a-glance
- Looking at historical CVOL Index for corn, soybeans, and Chicago wheat participants can see how markets are trading at elevated levels compared to the last three years.
- Corn and Soybean Weekly Options expire every Friday and are now based on New Crop futures. In August, volume was up a robust 37% YoY with activity spiking on the August WASDE. The Week three option aligns with the upcoming Sept 12 WASDE.
- As Dec Corn futures rally ~9% in August, the $7 calls saw the largest OI change increasing over 23K contracts on the month.
- Feeder Cattle options hit record August ADV of 1,835, bucking the trend of a slower seasonal month.
| Option Product | August ADV | Year/Year % Change |
|---|---|---|
| Corn | 100,560 | 8% |
| Soybean | 53,760 | -2% |
| Chicago SRW Wheat | 21,650 | 11% |
| Short-Dated New Crop Option | 11,297 | 15% |
| Soybean Oil | 9,491 | -10% |
| Soybean Meal | 11,403 | 29% |
| Hogs | 10,642 | 21% |
| Live Cattle | 10,293 | 20% |
| Ag Weekly Option | 7,998 | 33% |
| KC HRW Wheat | 2,354 | -53% |
| Calendar Spread Option | 2,290 | 85% |
| Feeder Cattle | 1,835 | 92% |
| Class III Milk | 1,419 | 50% |
CVOL Index (Historical) – Grain and oilseed markets are still trading at elevated implied volatility levels. Comparing CVOL during August, you can see how much market uncertainty is currently priced into the market.
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December Corn – December corn rallied close to 9% in August as market participants ramped up open interest in the Dec $7 call as the 25-delta risk reversal decreased from 4.66 to 1.62.
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Feeder Cattle – With severe drought impacting grazing land and feed costs, there have been record numbers of cattle moved off grass. Seasonally, futures prices tend to top and then move sideways to lower from the U.S. Labor Day holiday into fall; we are bucking the trend as the industry quickly moves through the supply. With this trend call skew is historically high for the October contract.
*CME Data
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.
