June 2021 Agricultural Options Update

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


Contact Information

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


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