|OPTION PRODUCT||MAY ADV||YEAR/YEAR % CHANGE|
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
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