DECEMBER 2022 highlights
- New Crop Weekly options start trading January 23*. The new product is an extension of Short-Dated New Crop options, with listing cycles occurring every Friday in February through August.
- Short-Dated New Crop (SDNC) options had the highest ADV ever (11K) and second-highest OI (124K) in 2022.
- Calendar Spread options had the highest ADV ever in 2022, with over 2K trading a day and highest average open interest of 72K contracts.
- 2022 exhibited the most cross- and block-Agricultural option volume in any year. On average, 23.2K contracts were crossed and 4K blocked, making up 11% of total Agricultural option volume.
* Pending Regulatory Approval
|
Option Product |
DECEMBER ADV |
Year/Year % Change |
|---|---|---|
|
Corn |
53,152 |
-8% |
|
Soybean |
35,555 |
-33% |
|
Chicago SRW Wheat |
17,648 |
-6% |
|
Soybean Oil |
15,640 |
33% |
|
soybean mal |
13,743 |
-6% |
|
short-dated new crop option |
1,157 |
-28% |
|
hogs |
10,463 |
27% |
|
live cattle |
11,471 |
51% |
|
ag weekly option |
4,693 |
-41% |
|
kc hrw wheat |
1,693 |
-68% |
|
calendar spread option |
778 |
-54% |
|
Feeder Cattle |
1,351 |
23% |
Source: CME Group Data
New Crop Weekly options
Agricultural Weekly options have an underlying based on the front-month futures contract with the option expiring every Friday. Short-Dated New Crop options have an underlying based on the new crop futures contract and have an expiration once a month. The new product, New Crop Weekly options, take attributes from Weekly and SDNC options while filling in coverage for market participants to further refine or spread risk. The chart below shows the average one-week volatility levels between old crop and new crop throughout the year. As depicted, new crop has a noticeable difference in volatility levels at the beginning of the year.
Cross volume - Cross activity has grown in popularity as an execution style over time with over 9% of all Agricultural option volume done in the form of a cross.
Calendar Spread options - With Corn and Soybeans trading at an inverse for most of 2022, market participants have traded Calendar Spread options in record fashion.
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.
