Agricultural Options Product Suite

January 2024 Highlights
  • Best January ADV ever for options on:
    • Live Cattle
    • Soybean Meal and Meal Weekly
    • Feeder Cattle
    • Lean Hog 
    • Short-Dated New Crop
    • Agricultural Weekly 
  • Record average open interest in Feeder Cattle options (80K)
  • March Soybeans have declined ~9% since the beginning of the year, put skew has increased and is now trading above call skew which is atypical for the contract 
  • Live Cattle has rallied ~10% in the last two months; implied volatility has decreased from 22 to 12 with call skew increasing 
  • New Crop Weekly options are now listed for the 2024 crop year 

In this report
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Option Products

Jan ADV

Year/Year % Change

Corn

110,336

25%

Soybean

99,094

74%

Soybean Meal

28,581

78%

Chicago SRW Wheat

27,378

29%

Live Cattle

25,148

139%

Hogs

22,365

70%

Soybean Oil

10,799

18%

Feeder Cattle

3,326

32%

KC HRW Wheat

2,355

-5%

Class III Milk

927

-20%

Source: CME Group

Short-Term option ADV

 

Jan ADV

Jan ADV

Jan ADV

 

Weekly options

Short-Dated New Crop options

New Crop Weekly options

Corn

7,596

5,730

14

Soybean

3,313

3,067

2

Chicago SRW Wheat

1,392

7

 

Soybean Meal

842

   

Soybean Oil

12

   

Source: CME Group


Live Cattle options

Market participants have gravitated to option markets to help navigate recent price swings. Looking at open interest over time, you can see a significant increase in open positions in options starting in 2021. Options have surpassed futures open interest with over 335K contracts at the end of January.


Corn New Crop

Short-Dated New Crop options have seen consistent growth coming off record participation in 2023 and the launch of New Crop Weekly options. For the 2024 crop year, New Crop Weekly options began to trade with the first expiration occurring Feb 2.  

In 2024, (red line) we are seeing more of the same as Short-Dated New Crop options posted a record in January. 

Looking at Corn CVOL (CVL) as a representation of 30-day constant maturity of old crop volatility in the first half of the year vs. a “new crop” CVOL, you can see how the two different crops have a different volatility profile. 

The chart below shows how at the beginning of the year, old crop volatility trades at a 3.5% -13.5% premium to new crop. As you move farther along the year, the volatility converges and over the past four years, new crop volatility surpasses old crop in June. In 2024, (red line) we can see the spread between the two crop years is on the lower range.  

For context, standard December options with 300 days until expiration are trading slightly below the 18-year average.  

Looking at open contracts with an underlying of December Corn at month end, you see more than 25% of open interest are in Short-Dated New Crop until the July expiration occurs. At the end of January 2024, 32% of December Corn exposure is in the form of a Short-Dated contract which is a little higher vs. 2023.



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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