February 2022 highlights
- Using CVOL to look across the Grain & Oilseed complex, SRW Wheat continues to have the highest increase in implied vol and call skew, the Corn market following Wheat conditions during February
- Chicago and KC Wheat call skew has increased dramatically to levels not seen in 10 years, along with elevated implied volatility.
- With increased market volatility, C-Cross transactions set a record as participants found liquidity using brokers.
Option Product |
FEB ADV |
Year/Year % Change |
|---|---|---|
Soybean |
126,740 |
72% |
Corn |
118,149 |
7% |
Chicago SRW Wheat |
41,108 |
106% |
Soybean Meal |
19,275 |
76% |
Hogs |
16,054 |
43% |
Soybean Oil |
13,649 |
2% |
Live Cattle |
10,890 |
23% |
Ag Weekly Option |
9,605 | 24% |
Short-Dated New Crop Option |
9,156 |
126% |
KC HRW Wheat |
5,495 |
116% |
Calendar Spread Option |
2,331 |
144% |
Feeder Cattle |
1,812 |
186% |
Grain & Oilseed Implied Volatility –The CVOL Index shows Chicago Wheat (orange line) increased from 34% to 57%. Corn (blue line) increased from 26% to 44% during February.
Grain & Oilseed Skew – A look at the Skew Index within the CVOL tool shows that Chicago Wheat (orange line) had a dramatic upward move starting in mid-January, with Corn call skew following the same pattern as/in the footsteps of Wheat.
Historical Wheat Skew – Looking at history, the constant maturity 25-delta risk reversal has not been this high since 2012 for Chicago and KC Wheat. The metric is based on looking at the 25-delta call minus the 25-delta put.
May SRW Wheat Implied Volatility – Looking back over time, the May Chicago Wheat contract exhibited higher volatility in February 2008 than we have seen in February 2022.
Cross Orders – Cross transactions allow market participants to find liquidity in times of market stress. A cross is a CME Globex transaction that can interact with existing bids and offers and help clients achieve the best execution price possible.
Contact information
Steven A Stasys
Senior Director, Agricultural Options
steven.stasys@cmegroup.com
+312-648-3822
