Monthly Highlights
  • The Wheat complex exhibited strong volume with Chicago Wheat March ATM implied volatility trading at the highest level since 2012. The current environment has led to Weekly Wheat options posting their highest ADV of the year (1,006).
  • December Lean Hog 25 delta skew (calls minus puts) had a dramatic shift as November ended. Puts started the month trading at a 6% premium to calls and traded close to par by month end.
  • Soybean Meal saw a dramatic spike in implied volatility across all contracts during November. We witnessed the Feb contract start the month at 18% and within two weeks spike to 28% 
Option Product Nov ADV Year/Year % Change
Corn 87,682 -20%
Soybean 56,102 -46%
Chicago SRW Wheat 35,469 69%
Soybean Meal 17,443 42%
Soybean Oil 10,615 -46%
Live Cattle 11,445 19%
Hogs 8,610 66%
Ag Weekly Option 7,189 -14%
KC HRW Wheat 6,953 279%
Short-Dated New Crop Option 1,528 -7%
Class III Milk 1,195 -23%
Feeder Cattle 1,311 33%

Chicago Wheat – The line in red is the March 2022 contract through November. With 80 days left in the contract, implied volatility has not been this high since 2012.

Chicago Wheat Weekly contracts– Wheat Weekly contracts averaged over 1,000 contracts a day during November as market participants utilized short-term options to help manage volatility in the wheat complex  

Lean Hogs – Throughout November, at-the-money Dec implied volatility grinded from the mid-thirties to mid-twenties. The 25-delta put/call relationship shifted from the 25-delta put trading six vol points over the 25-delta call to the call trading slightly lower than the 25-put. The skew or risk reversal is measured by the call minus the put, so a negative number reflects puts having higher volatility  

Soybean Meal – On November 15, Soybean Meal exhibited a six vol point move up in the February contract. An upward shift in volatility occurred throughout the curve and sustained through the end of the month.

Contact information

Steven A Stasys
Senior Director, Agricultural Options

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