2021 Highlights
  • In 2021, the Ag options complex posted an all-time ADV record of 274K contracts. The Ag CVOL Index hit an all-time high of 46 in June. The dollar-weighted vega value of the Ag complex reached over $200M in May.
  • Corn and Soybean Oil options both had record ADV in 2021. When compared to total futures and options volume, both Corn and Soybean Oil set new market share records (27% of all Corn and 9.4% of Soybean Oil volume came from options). Soybean Oil had a record average open interest of 220K in 2021.
  • Weekly Ag options set an all-time ADV record in 2021 averaging over 8K contracts a day.
  • C-Cross volume hit an all-time ADV record of 21K contracts, up 36% compared to 2020.

Option Product

2021 ADV

Year/Year % Change

Corn

112,731

27%

Soybean

69,402

7%

Chicago SRW Wheat

22,429

-24%

Soybean Oil

13,510

22%

Soybean Meal

11,492

-2%

Hogs

9,593

-17%

Live Cattle

9,132

-14%

Short-Dated New Crop Option

9,080

159%

Ag Weekly Option

8,127

24%

KC HRW Wheat

3,686

-16%

Class III Milk

1,291

-39%

Calendar Spread Option

1,104

87%

Ag CVOL (AVL) – The Ag CVOL Index takes a dollar vega-weighted average of all Ag products in the CVOL suite to create an overall Ag volatility index. That index peaked in June primary driven by the high volatility in the corn market.

Dollar vega exposure– Looking at all outstanding option open interest at each strike and multiplying it by the vega exposure, you can derive the total vega exposure in the Ag market as a whole. The dollar vega exposure value peaked at over $200M in May 2021. Vega measures the sensitivity to a one-point change in implied volatility. Corn made up 40% of the vega exposure with Soybeans just below at 37% during May.

Globex cross activity in Ags– Cross transactions have grown in importance, now accounting for 7.6% of all option volume or over 20K contracts a day. Select products utilize cross transactions more than others, such as Soybean Meal (26%), Calendar Spread options (60%) and Chicago Wheat options (12%).  

Weekly Ag options – Weekly options have become a staple of option trading for Corn, Soybean, and Chicago Wheat over the years.  Average open interest in 2021 was close to 18K contacts with activity dramatically picking up around WASDE events.


Contact information

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


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