Elevated Volatility Levels – As the chart depicts, January showcased elevated volatility levels for the March contract. 2009 posted higher implied vols but, when compared to last year or the 14-year average, 2021 clearly started the year in a different vol environment.
Skew – On top of elevated vol levels, the Grain and Oilseed complex has seen 25-delta calls at historic premiums compared to 25-delta puts. Soybeans, Soybean Meal, and Soybean Oil set all-time highs for the 25D risk reversal in the March contract.
Skew Movement – Looking at the Soybean risk reversal, you can see that skew is not just setting new highs but moving around while doing so. The all-time high of 6% was set in the March contract on January 14 but then quickly collapsed down below 2%.
Short-Term Options – Short-Dated and Weekly options both have seen very strong activity ‒ given the heightened volatility. Weekly options average open interest reached over 40K contracts with Soybeans setting an ADV record in December and January. Short-Dated New Crop options had the most active January ever.
Soybeans – Given the movements in price and elevated levels of volatility and skew, Soybean options hit an all-time monthly ADV record and have averaged over 1M contracts of open interest in January. The Soybean complex has not had this many options contracts outstanding since July of 2016.
Steven A Stasys
Senior Director, Agricultural Options
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