March 2022 Highlights
- CVOL historical volatility indexes now available back to 2014 for Corn and Soybeans. The expanded dataset helps put in content the current volatility and skew faced in today’s market, specifically for corn.
- The Grain and Oilseed markets are currently faced with extreme volatility but using QuikVol to see historical volatility, 2008 exhibited higher levels.
- Ag options had a record Q1 as the market looks to manage risk in uncertain times. Short-Dated New Crop and Calendar Spread options have particularly become very active given spread dynamics along the futures curve.
- C-Cross transactions continue to set records as participants find liquidity through the use of brokers in volatile markets.
Option Product |
March ADV |
Year/Year % Change |
|---|---|---|
Corn |
140,118 |
71% |
Soybean |
67,442 |
22% |
Chicago SRW Wheat |
34,218 |
136% |
Soybean Oil |
11,412 |
-40% |
Hogs |
11,312 |
31% |
Soybean Meal |
10,415 |
19% |
Short-Dated New Crop Option |
9,390 |
71% |
Ag Weekly Option |
9,605 | -57% |
Calendar Spread Option |
3,545 |
1030% |
KC HRW Wheat |
2,605 |
19% |
Feeder Cattle |
1,738 |
66% |
CVOL Extended To 2014 –When looking at the Skew Index within the CVOL complex you can see the dramatic move in upward skew for Corn.
Implied Volatility (New Crop) – Comparing 2022 to 2008 for December Corn, November Soybeans and July Chicago Wheat at the beginning of the year you can see the complex has seen more extreme volatility.
Calendar Spread Options (CSO’s) – Given the large swings in future spreads and increased liquidity CSO’s have hit record volume and open interest records as market participants look to manage spread risk.
Cross Orders – Cross transactions allow market participants to find liquidity in times of market stress. A cross is a Globex transaction that can interact with existing bids and offers and help clients achieve the best execution price possible.
