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


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