February 2021 Agricultural Options Update

Monthly Highlights

  • CVOL Indices launched February 9 for Corn, Soybeans, and Chicago Wheat ‒ helping Ag participants track implied volatility and skew
  • Cross transactions have seen strong growth, helping market participants source liquidity.  January had record cross volume averaging over 30K option contracts crossed a day, and February set a new high in percentage terms for option contracts transacted via cross.
  • The new Pork Cutout option contracts is starting to build open interest with eight different maturities holding positions
  • Ag participants continue to utilize short term options, with volume up 38% YoY for Short Dated New Crop options . Open interest is spread across multiple maturities as traders gain exposure or hedge the 2021 crop in a lower premium, high gamma manner.

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.

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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. 

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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.

*CME Data

Cross transactions

*CME Data

Contact Information

Steven A Stasys
Senior Director, Agricultural Options

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