Agricultural Options Product Suite

February 2024 Highlights

Agricultural options are off to the best Q1 ever with strong activity in Live Cattle, Soybeans, Corn and Lumber options. Corn hit contract lows with implied volatility reaching six-month highs increasing 24% in February. Lean Hog hit contract highs with implied volatility decreasing 16% in February.

  • All-time records:
    • Record Livestock open interest of 871,856 on Feb 1, ADV of 50,839
    • Soybean Weekly options ADV of 5,675, average open interest of 7,900
  • Record February:
    • New Crop Weekly options ADV of 250, peak OI at 2,539
    • Short-Dated New Crop options ADV 10,192, average OI at 141,200
    • Lean Hog options ADV of 17,662, average OI at 403,889
    • Live Cattle options ADV of 25,197 average OI at 290,402
    • Feeder Cattle options ADV of 3,473 average OI at 74,103
    • Weekly options ADV of 15,937, average OI at 59,104
Option Products Feb ADV Year/Year % Change
Corn 129,762 62%
Soybean 97,820 95%
Soybean Meal 25,708 35%
Chicago SRW Wheat 25,058 -33%
Live Cattle 25,197 110%
Hogs 17,662 38%
Soybean Oil 14,797 -1%
Feeder Cattle 3,473 39%
KC HRW Wheat 3,332 15%
Class III Milk 1,065 10%

Source: CME Group

In this report
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Short-Term option ADV

  Weekly Options Short Dated New Crop Options New Crop Weekly Options
Corn 8,677 5,887 190
Soybean 5,675 3,590 31
Chicago SRW Wheat 1,168 4  
Soybean Meal 325    
Soybean Oil 92    

Source: CME Group

CVOL recap for February

ProductLow High Range % Change On Month
Corn (CVL)17.724.36.624%
Chi Wheat (WVL)26.731.24.56%
Feeder (GFVL)13.815.01.33%
Live Cattle (LEVL)11.314.02.72%
Soybeans (SVL)16.719.22.50%
Soybean Oil (SOVL)26.731.14.4-2%
Soybean Meal (SMVL)22.626.33.8-10%
Class III (DCVL)16.921.85.0-13%
Lean Hog (HEVL)20.725.14.4-16%

Source: CME Group

Corn and Soybean Skew

Utilizing CVOL charts to look at Corn and Soybean skew during February, upside calls in Corn caught a significant bid in relation to the bean contract. The same can be said about overall volatility levels.

Live Cattle volatility

Live Cattle put skew increased (negative skew leads to a premium in puts) as overall volatility levels stay somewhat constant throughout the month.

UpVar and DownVar

You can see the relationship between calls and puts in more detail utilizing UpVar and DownVar. At the end of January, DownVar (put skew) started trading at a premium to Up Var( call skew) and continued throughout February.  

Lean Hogs

As Lean Hogs rallied with tighter supplies, impled volatltiy decreased significantly and call skew increased.  

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.

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