June 2020 Agricultural Options Update

Ag Option Product Suite

Monthly Highlights

  • Class III Milk options hit multiple volume records throughout June, the largest occurring on June 26 with 16,341 contracts changing hands.
  • The entire Dairy complex has experienced unprecedented volatility and price action recently, with open interest hitting record highs. Block Cheese options were launched on January 13, adding a seventh option product to the complex and have quickly built up close to 4,000 contracts of OI.
  • June implied volatility for Soybeans and Soybean meal are at historical lows, looking back to 2007. This also marks the second time implied volatility of Soybean Oil is higher than Soybeans and Soybean Meal.
  • August Lean Hogs is at a historical high implied volatility due to ongoing African Swine Flu (ASF) and Covid-19 concerns.

Option Product

June ADV

Year/Year % Change

CORN OPTION

94,271

-60%

SOYBEAN OPTION

50,891

-26%

CHI WHEAT OPTION

26,186

-30%

HOGS OPTION

11,009

-42%

SOYBEAN MEAL OPTION

8,406

-1%

CATTLE OPTION

7,136

-11%

SOYBEAN OIL OPTION

5,452

11%

KC WHEAT OPTION

3,641

-35%

Class III MILK OPTION

2,999

75%

FEEDER CATTLE OPTION

664

-64%

Class III Milk

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Dairy Complex Growth

Soybean Complex - June 2020 has shown historically low implied volatility, specifically for Soybean and Soybean Meal.  This is the second time that Soybean Oil had the highest average implied volatility during June, compared to Meal and Soybeans.

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Lean Hog Implied Volatility

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Contact Information

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

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