May 2023 HIGHLIGHTS
  • Grain and Oilseed implied volatility sees a significant increase during May
  • Record activity in Agricultural Short Term options:
    • Week 2 options cover June 9 WASDE
    • Week 5 options cover June 30 Acreage Report
  • Record activity in Calendar Spread options, supported by dedicated market makers for RFQs on Globex
Option Products May ADV Year/Year % Change
Corn 144,738 11%
Soybean 78,559 11%
Chicago SRW Wheat 38,506 42%
Soybean Meal 18,058 111%
Soybean Oil 22,633 148%
Hogs 15,103 33%
Live Cattle 12,436 15%
KC HRW Wheat 6,586 49%
CALENDAR SPREAD OPTION 5,833 389%
Feeder Cattle 2,467 50%
Class iii Milk 1,133 20%

 

Source: CME Group

Short Term Options ADV

  Weekly Options Short Dated New Crop Options New Crop Weekly Options
  MAy ADV May ADV May ADV
Corn 5,520 19,705 1,137
Soybean 3,735 5,121 154
Chicago SRW Wheat 1,383    
Soybean Meal 390    
Soybean Oil 105    

Source: CME Group

Short-term options

Agriculture has three types of short-term options (Short-Dated New Crop, New Crop Weekly and Weekly) which made up over 18% of Corn and 12% of Soybean option activity in May.

New Crop Weekly options

  • As Corn and Soybeans implied volatility increased significantly throughout the month, New Crop Weekly options had an ADV of 1.3K contracts and closed the month out with ~7K contracts of open interest. 
  • Week 2 options expire the same day as the June 9 WASDE report. Week 5 option expire the same day as the June 30 acreage report. 
  • Participants utilize weekly expires to help manage new crop risk through USDA reports as well as weather patterns.

Corn and Soybean CVOL

  • Soybean Weekly options set an all-time monthly ADV record of 3,735 contracts.  Soybean CVOL (SVL) increased from 16.81 to 24.19 during the month, the highest level since last fall. 

Soybean Weekly options

  • Short-Dated New Crop options posted the best May ever in terms of average daily volume in the face of increased volatility as we head into the sensitive weather period. 

Calendar Spread options

  • Calendar Spread options (CSOs) posted the highest ADV ever in May with 5,833 contracts and record open interest of 143K contracts on May 31st. Market participants are utilizing CSOs to manage spread risk directly as flat price dynamics are different than spread exposure. Liquidity providers are now responding to request for quotes (RFQs) on CSO spreads for enhanced transparency. Learn more about CSO’s here.

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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