July 2023 Highlights
  • The Corn options complex traded a record of 646,351 contracts on July 19, surpassing the previous volume record by 10% or 63,987 contracts while the market handles a 12-point volatility range during the month of July as measured by CVOL.
  • Livestock options (Live Cattle, Feeder Cattle, and Lean Hogs) posted a single-day open interest record on July 18 of 721,030 contracts and averaged 688,659 contracts outstanding throughout the month.
  • Front-month Agricultural Weekly options have an ADV +92% YoY. New Crop Weekly (2,073) and Chicago Wheat Weekly options (2,577) set all -time ADV records in July.

In this report

Option Products

July ADV

Year/Year % Change

Corn

236,096

40%

Soybean

87,990

10%

Chicago SRW Wheat

37,541

16%

Soybean Oil

27,071

82%

Soybean Meal

17,584

54%

Hogs

16,805

57%

Live Cattle

15,863

91%

KC HRW Wheat

3,148

-3%

Feeder Cattle

2,572

39%

Class III Milk

1,351

-32%

Short-Term Option ADV

 

JULY ADV

 

WEEKLY OPTIONS

SHORT-DATED NEW CROP OPTIONS

NEW CROP WEEKLY OPTIONS

Corn

6,881

32,554

1,676

Soybean

2,292

9,874

397

Chicago SRW Wheat

2,577

   

Soybean Meal

343

   

Soybean Oil

116

   

Corn – volatility and put/call OI ratio

As traders handle an extremely choppy market, Corn CVOL (CVL) posted a low of 30 and a high of 44 during the month of July. Looking at open interest, the put/call ratio for Corn options is at 1.05, the upper end of the range to close out July. Anything over 1 indicates that there are more put options outstanding than calls, which is atypical looking at the QuikStrike chart below and very different from this time last year with the ratio standing at .56 in 2022.


Agricultural short-term options

Chicago Wheat Weekly options set an all-time open interest record of 15,625 contracts on July 27 and averaged 2,577 contracts during the month as market participants navigated a 20-point volatility range in Chicago Wheat during July as measured by WVL (CVOL). New Crop Weekly options continue to gain traction, setting a new ADV record and averaging over 6K contracts of open interest during July.


Livestock

As market participants see record high Live Cattle and Feeder Cattle futures prices, open interest in options is sitting at historic levels. At the end of July, the put/call ratio was 1.51 for Live Cattle, 2 for Feeder Cattle and 1.82 for Lean Hogs. As mentioned, anything above 1 indicates puts hold more open interest than calls. Using Feeder Cattle as an example, there are twice as many puts than call. The put/call ratio has not been this high in Feeder Cattle since 2015 as the product posts record open interest.


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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