- 2 Jun 2020
- By Steven Stasys
- Topics: Agriculture
Ag Option Product Suite
Monthly Highlights
- August Live Cattle implied volatility hit a historic high of 37% on May 7 and then rapidly decreased with month-end volatility levels close to 20%.
- August Live Cattle 25-delta put skew traded 10% above calls on May 11. Historically, put skew is around 2% for the month of May.
- July Lean Hog implied volatility started the month at 62%, and then declined down to about 51%. To put these levels in context, this time last year volatility was at 36%, and historically it is typically around 20%.
- July Lean Hog put skew is at an all-time high with the 25-delta puts trading 17% over a 25-delta call on May 6.
| OPTION PRODUCT | MAY ADV | YEAR/YEAR % CHANGE |
| Corn | 62,042 | -73% |
| Soybean | 39,221 | -57% |
| Chicago Wheat | 25,559 | -30% |
| Hogs | 11,204 | -31% |
| Cattle | 13,398 | 13% |
| Soybean meal | 6,225 | -37% |
| Soybean oil | 5,462 | -17% |
| KC Wheat | 3,627 | -28% |
| Milk | 2,981 | 55% |
| Feeder Cattle | 1,189 | -42% |
| Cash-settled Cheese | 471 | 18% |
| NFD Milk | 185 | -12% |
Live Cattle Implied Volatility - August Live Cattle implied volatility hit a historic high of 37% on May 7, and then rapidly decreased with month-end volatility levels close to 20%.
Live Cattle Skew - August Live Cattle 25-delta put skew traded 10% above calls on May 11. Historically, delta-put skew is around 2% for the month of May.
Lean Hog Implied Volatility - July Lean Hog implied volatility started the month at 62% and then declined down to about 51%. To put these levels in context, this time last year volatility was at 36%, and historically it is typically around 20%.
Lean Hog Skew - July Lean Hog put skew is at an all-time high with the 25-delta puts trading 17% over a 25-delta call on May 6.
Steven A Stasys
Senior Director, Agricultural Options
steven.stasys@cmegroup.com
+312-648-3822
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