November 2020 Agricultural Options Update

Monthly highlights

  • Call skew in Soybeans was historically strong through November ‒ with the put/call open interest ratio increasing slightly.
  • Soybean Oil implied volatility hit above 30% in November, only the third time in the last 10 years implied vol has been this high.
  • December 21 Corn options had the highest open interest since 2014 at the end of November.

Option Product

Nov ADV

Year/Year % Change

Corn

105,172

52%

Soybean

100,800

142%

Chicago SRW Wheat

19,756

10%

Soybean Oil

18,338

129%

Soybean Meal

11,593

24%

Live Cattle

9,333

-16%

Ag Weekly Option

7,700

26%

Hogs

4,766

-64%

KC HRW Wheat

1,784

-52%

Short-Dated New Crop Option

1,565

115%

Class III Milk

1,483

-18%

Feeder Cattle

939

-10%

Source: CME Group


Soybean Call Skew – With Soybeans rallying close to $2.00 over the last two months, calls have caught a bid when looking at the 30-day constant maturity 25-delta skew (call-put). The 25-delta skew has been over 4% four times over the last 10 years (Aug 2012, June 2016, August 2017, and March 2018).

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Looking at the open interest profile, we saw the put/call ratio increase from .70 to .78 in November. Open interest has been increasing overall for the 2021 contracts, with puts at a slightly greater rate than calls.

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Soybean Oil Implied Volatility – Looking at the 30-day constant maturity, Soybean Oil is over 30%. This has only happened three times in the last 10 years (December 2010, December 2015, and March 2020).

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New Crop Corn – December Open Interest Profile  Using the QuikStrike Open Interest Heat Map, we can see a profile of Dec 21 Corn. There are over 180,000 contracts of open interest across Short-Dated New Crop (SDNC) and standard December options at the end of November, with SDNC options making up 30K of the OI. The 400 strike is the most popular, with close to 30,000 contracts open. 

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*CME Data


Contact Information

Steven A Stasys
Senior Director, Agricultural Options
steven.stasys@cmegroup.com
+312-648-3822

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