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.

*Powered by QuikStrike

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).

*Powered by QuikStrike

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.

*Powered by QuikStrike

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

Subscribe to Agricultural options update

About CME Group

As the world’s leading derivatives marketplace, CME Group is where the world comes to manage risk. Comprised of four exchanges - CME, CBOT, NYMEX and COMEX - we offer the widest range of global benchmark products across all major asset classes, helping businesses everywhere mitigate the myriad of risks they face in today's uncertain global economy.

Follow us for global economic and financial news.

CME Group on Twitter

CME Group on Facebook

CME Group on LinkedIn

Agricultural Options Update

View an update of Agricultural Options, including volatility curves, recent volume, options spreads, and more.

View Now