CVOL Index– Utilizing the CVOL Index for Soybeans and Corn, you can see the dramatic decrease in implied volatility that occurred during the month of February. Soybean CVOL decreased from 30% to as low as 20% with Corn CVOL coming off a one-and-a-half year high of 38% to 25% during February. The index looks at 30-day constant maturity, meaning that one point in time (30 days) is measured across all listed strikes for the index.
Short Dated New Crop options – We have seen elevated volatility levels to start the year, and market participants have looked to Short Dated New Crop options (SDNC) to help offset higher premium levels on further dated futures contracts. In Corn, we see the May and September maturities hold the most OI with the $5 and $4.40 strikes being the most popular strikes for all contracts.
Pork Cutout options – Pork Cutout futures (PRK) and options launched late last year with large commercial demand for the contract. We are starting to see more and more activity in the options space with open interest surpassing 550 contracts across eight maturities.
Steven A Stasys
Senior Director, Agricultural Options
As the world's leading and most diverse derivatives marketplace, CME Group is where the world comes to manage risk. Comprised of four exchanges - CME, CBOT, NYMEX and COMEX - we offer the widest range of global benchmark products across all major asset classes, helping businesses everywhere mitigate the myriad of risks they face in today's uncertain global economy.
Follow us for global economic and financial news.
View an update of Agricultural Options, including volatility curves, recent volume, options spreads, and more.