August 2023 Highlights

With an all-time high price in Feeder Cattle futures and a significant move down in Wheat during August, option markets are pricing in asymmetric risk into the marketplace.


In this report

Option Products

aug ADV

Year/Year % Change

Corn

113,493

-1%

Soybean

61,651

2%

Chicago SRW Wheat

30,100

36%

Soybean Oil

16,463

73%

Soybean Meal

13,368

15%

Hogs

16,158

52%

Live Cattle

13,257

29%

KC HRW Wheat

3,080

31%

Feeder Cattle

2,753

50%

Class III Milk

877

-38%

Source: CME Group

Short-Term Option Average Daily Volume (ADV)

 

August ADV

 

WEEKLY OPTIONS

SHORT-DATED NEW CROP OPTIONS

NEW CROP WEEKLY OPTIONS

Corn

3,543

6,929

660

Soybean

2,356

4,285

287

Chicago SRW Wheat

1,025

   

Soybean Meal

202

   

Soybean Oil

49

   

Source: CME Group


Feeder Cattle

Feeder Cattle futures hit all-time highs in August given strong demand and low inventory.  As market participants face record prices, we are seeing open interest in Feeder Cattle options hit record levels averaging over 79K contracts outstanding in August.

Looking further into the open interest (OI), puts have twice the number of outstanding contracts than calls with a put/call ratio of 2.15 at the end of August.


Chicago Wheat Skew

Year-over-year Chicago Wheat is trading more than two dollars lower with one dollar move down occurring in August 2023 alone. The lower price has come in tandem with higher call skew.  When looking at the December contract going back to 2007, call skew has never been higher when looking at the 25 delta risk reversal.

The below chart zooms in on the difference between 2022 and 2023 only. 

A CVOL Chicago Wheat (WVL) chart looking the Skew Index gives a historical perspective of the path of Wheat futures in relation to the dramatic rise in upside call skew.


Ag Short Term Options

Over 5.5M Ag Short-Term options traded in 2023 through August, averaging 34K contracts a day.  New Crop Weekly options closed out the year with 897 ADV trading 150K contracts total.  Standard weekly options now have December Corn and November Soybeans as an underlying. 


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.

CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). 
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

© 2024 CME Group Inc. All rights reserved.