- 7 Jul 2021
- By CME Group
- Topics: Agriculture
Monthly Highlights
- The Grain and Oilseed option complex posted 4.5M contracts of open interest on June 24, the second-highest level ever behind August 2012. Corn options reached 2.4 million contracts and Soybean Oil reached an all-time high of 325K contracts.
- December Soybean Oil volatility is at record highs with the put skew bid more than usual.
- With the use of the CVOL Skew Index, market participants can see Soybean and Soybean Meal call skew increase dramatically throughout June with Soybean Oil exhibiting the opposite trend.
- Short Dated New Crop options posted 30K ADV. In Corn products, 14 % of option volume was in the form of a Short-Dated contract.
- Calendar Spread options are up 80% YoY with a lot of activity coming from the Corn Consecutive contract.
| Options Product | June ADV | Year/Year % Change |
|---|---|---|
| Corn | 132,524 | 54% |
| Soybean | 90,593 | 85% |
| Chicago SRW Wheat | 17,761 | -31% |
| Soybean Oil | 17,936 | 229% |
| Short-Dated New Crop Options | 29,697 | 459% |
| Soybean Meal | 12,507 | 49% |
| Hogs | 12,939 | 18% |
| Live Cattle | 8,647 | 21% |
| Ag Weekly Option | 8,920 | 66% |
| KC HRW Wheat | 2,321 | -36% |
| Class III Milk | 1,262 | -58% |
| Feeder Cattle | 1,034 | 56% |
| Calendar Spread Options | 1,813 | 80% |
Soybean Oil ‒ Looking at the December contract historically, you can see how 2021 (green line) is at extremely elevated levels.
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Soybean Oil skew – Looking at the relationship between calls and puts, you can see that puts are historically rich in the December contract in 2021 (green line).
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Soybean complex – With the use of the CVOL Skew Index, it is very apparent that Soybean and Soybean Meal skew is trading in a very different manner compared to Soybean Oil during June.
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Short Dated New Crop options – Given the high implied volatility in the Grain and Oilseed space, Short Dated New Crop options had an ADV of 30K in June, the third-best month ever for the contract.
CME Data
Steven A Stasys
Senior Director, Agricultural Options
steven.stasys@cmegroup.com
+312-648-3822
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