2022 January Highlights
  • Large movements have been seen in Chicago and KC Wheat implied volatility and skew given geopolitical tensions. Chicago Wheat weekly options hit a record average open interest in January of 7K and an ADV of 1,871 given heightened volatility.
  • CVOL helps showcase the dramatic increase in implied vol and call skew for Wheat in relation to other Grain and Oilseed products. 
  • Consecutive Corn Calendar Spread Options (CSOs) set a volume and open interest record in January with activity spread out among the March, May and July expirations.
  • Lean Hog option average open interest has been building throughout 2021 with January OI up 56% YoY.
Options Product Jan ADV Year/Year % Change
Corn 95,742 -50%
Soybean 81,766 -39%
Chicago Wheat 31,576 1%
Soybean Meal 13,726 -11%
Soybean Oil 13,122 -21%
Hogs 11,589 49%
Aw Weekly options 9,851 0%
Live Cattle 8,304 -25%
KC HRW Wheat 5,875 96%
Short-Dated New Crop options 3,806 -24%
Calendar Spread options 2,747 188%
Feeder Cattle 1,361 22%

Wheat Complex – Kansas City Wheat has consistently shown a higher implied vol over the last year in comparison to Chicago Wheat with both products moving in a similar fashion.  When looking at the 15-delta skew between Chicago and Kansas City, the Chicago call skew has had a more dramatic move recently.  The 15-delta spread widened from -1.4% to -3.6% (KC minus Chicago).

Chicago Wheat Weekly Options – Traders have migrated short-term trading strategies from Corn/Soybean into the Wheat complex, leading to a large increase in volume and open interest in January.

Grain and Oilseed Skew – When looking at the Skew Index within the CVOL tool, you can see Chicago Wheat (orange line) had a dramatic increase starting in mid-January compared to Corn and the Soybean complex.

Lean Hog Open Interest– Lean Option open interest has seen strong growth over the last 12 months with January posting an average OI of 241K contracts.

Calendar Spread Options – Calendar Spread Options have seen strong activity, specifically in the Corn Consecutive contract, across multiple maturities as traders handle spread risk going into the North American planting season.


Contact information

Steven A Stasys
Senior Director, Agricultural Options
steven.stasys@cmegroup.com
+312-648-3822


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