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June 2023 Highlights
  • In June, North American weather concerns impacted corn implied volatility, driving it above Chicago Wheat volatility. Soybean skew rose dramatically post the Acreage report nearing corn levels of 6% as indicated by the CVOL skew index.
  • Record relationship-based trading occurred during June as cross volume averaged 58K and blocks averaged 18K contracts.
  • The Agricultural complex established a new option ADV record of 523,628 contracts, with short-term options, the Livestock complex and Soybean Oil contracts all setting records.

In this report

CVOL – Corn and Soybean

Option Products

June ADV

Year/Year % Change

Corn

271,541

59%

Soybean

110,724

51%

Chicago SRW Wheat

37,349

38%

Soybean Meal

20,775

103%

Soybean Oil

33,691

188%

Hogs

18,859

116%

Live Cattle

20,603

97%

KC HRW Wheat

4,118

27%

Feeder Cattle

2,876

105%

Class III Milk

1,695

129%

Short-Term Option ADV

 

June ADV

June ADV

 

Weekly options

Short-Dated New Crop options

Corn

12,390

54,578

Soybean

3,839

11,061

Chicago SRW Wheat

961

 

Soybean Meal

541

 

Soybean Oil

217

 

Starting in mid-May, Corn and Soybean volatility increased dramatically as North American weather became a concern. As measured by CVOL, corn volatility peaked at 48.5 June 21 with skew peaking Friday June 23. Soybean skew hit a high of 6.2 a week earlier than corn. The landscape quickly changed post Acreage report with corn skew decreasing and soybeans increasing with both contracts trading around 6% at the end of the month.


CVOL – implied volatility

During June, Corn  volatility traded over Chicago Wheat with Soybeans, trading around 10 vol points lower. To close out the month, wheat and corn volatility were both trading around 40% when looking at the CVOL Index.


Soybean Oil

On June 21, the U.S. Environmental Protection Agency finalized renewable fuel standards, Soybean Oil futures moved limit down the same day with major shifts in skew and implied volatility as visually shown in the above CVOL chart. On the day of the June 30 Acreage report, Soybean Oil futures went limit up with skew and implied volatility increasing. Soybean Oil options traded a single day record of 89K contracts on June 9 and set a monthly ADV record of 34K as market participants navigate uncertain times in the market.


Live Cattle

Live Cattle futures rallied 2.4% on June 1 with volatility and skew following with the underlying movement. Looking at the CVOL chart, you can see volatility levels have tapered off a bit, but skew continues to increase throughout June.


Short-term options

Agriculture has three types of short-term options (Short-Dated New Crop, New Crop Weekly, and Weekly), which made up over 25% of Corn and 14% of Soybean option activity this past month.

Short-Dated New Crop Weekly options established a single day record of 147,986 on June 16 and monthly ADV record of 65,639 

  • Record Weekly Options ADV = 17,948 
  • Record New Crop Weekly Options ADV = 2,029 and record open interest of 12,305 on June 29

Relationship-based trading

A continued trend of market participants finding additional value in execution in the form of a block or cross for Agricultural options created the highest market share and ADV in June for relationship-based trading. 


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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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