December 2020 Agricultural Options Update

Monthly Highlights

  • The Ag option market had a strong end of the year with volume up 62% across the complex lead by Corn, Soybeans, and Soybean Oil as the market rallied.
  • The Dairy option complex set volume and open interest records in 2020 with unprecedented volatility throughout the year.
  • Soybean Oil set a volume record in 2020 and the second highest average open interest on record with 30-day implied volatility ranging between 15% to 35%.

OPTION PRODUCT

DEC ADV

YEAR/YEAR % CHANGE

Corn

102,438

115%

Soybean

99,199

93%

Chicago SRW Wheat

20,879

-12%

Soybean Oil

20,759

93%

Ag Weekly Option

12,339

36%

Live Cattle

7,990

19%

Hogs

5,195

-56%

Short-Dated New Crop Option

2,394

110%

KC HRW Wheat

1,920

-65%

Class III Milk 1,488 -15%
Feeder Cattle 841 2%

Source: CME Group


Class III Milk – Class III Milk has sustained substantially higher levels of volatility throughout 2020. From 2007 to 2019, the average 60-day constant maturity volatility was 16%. In 2020, 60-day implied vol in Class III milk averaged 27%.

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Source: CME Group


Implied Volatility Ranges – Looking at 30-day constant maturity volatility in 2020, Soybean Meal had the highest mark and widest range with a high of 37% and low of 10%. Soybean Oil had the third highest range of implied volatility in 2020 with a low of 15% and a high of 35%.

*Powered by QuikStrike

Source: CME Group

Contact Information

Steven A Stasys
Senior Director, Agricultural Options
steven.stasys@cmegroup.com
+312-648-3822

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