May 2021 Agricultural Options Update

Monthly Highlights

  • The Grain and Oilseed option complex averaged 3.9 million contracts of open interest, the highest mark ever in the month of May. The complex also had an ADV of 351K contracts, the second highest mark in May.
  • July Corn ended May with a 41% implied volatility, this is the highest level going back to 2007.  July added over 90K contacts of open interest reaching 636K contracts with the $7 calls having the most volume and open interest change.
  • On May 11, Soybean Oil, Soybean Meal, Lean Hog, Live Cattle, Class III Milk, and an Ag broad-based index were added to the suite of CME CVOL Indexes. The tool is specifically useful in the current Grain and Oilseed markets to understand the change in implied volatility over time and in relation to other Ag products.
  • Short-Dated New Crop options posted their best May ever with 20K ADV. The July maturity exhibited the most volume and open interest with the $6 strike trading over 15K round turns.
Options Product May ADV Year/Year % Change
Corn 182,215 231%
Soybean 87,634 132%
Chicago SRW Wheat 22,696 -9%
Short-Dated New Crop Options 19,873 314%
Soybean Oil 14,163 159%
Soybean Meal 12,771 105%
Hogs 10,584 -6%
Live Cattle 8,117 -39%
Ag Weekly Options 8,051 93%
KC HRW Wheat 2,677 -26%
Calendar Spread Options 1,313 579%
Feeder Cattle 1,189 0%

Grain and Oilseed option volume and open interestMay was a very active month, driven primarily by Corn and Soybeans.

CME Data

CVOL Index by product in the Grain and Oilseed sector At the beginning of 2021, all major Grain and Oilseed options had a CVOL value in the mid-thirties. In the last two months, you can see Corn (blue line), Chicago Wheat (red line), and Soybean Oil (purple line) have been trading at a higher level when compared to Soybean Meal (red line) and Soybeans (green line).

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CVOL ‒ Soybean Complex Looking at CVOL for Soybean, Soybean Meal, and Soybean Oil, you can see Soybean Oil (orange line) trade at a higher implied volatility for all of 2021. Looking at historical data back to 2007, Soybean Oil has averaged three vol points below Soybean Meal and one vol point below Soybeans.

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Lean Hog CVOL Index vs. price – Due to COVID-19 related issues, the Lean Hog contract traded below $50 with the CVOL Index trading all the way up to 97 in April 2020. Over the last year, we have seen the Lean Hog contract sustain a strong rally (underlying is the dotted blue line) with the Lean Hog CVOL Index now trading around 30. 

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Short-Dated New Crop options Given the high implied volatility in the New Crop contract (December for Corn), market participants have ramped up trading in the Short-Dated New Crop contract, with the most open interest residing in the July maturity.

CME Data

Contact Information

Steven A Stasys
Senior Director, Agricultural Options

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