November 2023 Highlights

Agricultural options posted the highest ADV for November, trading over 308K a day with average open interest of 3.5M contracts. Soybean, Soybean Meal and Live Cattle options helped drive the record for November.

In this report
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Option Products Nov ADV

Year/Year % Change

Corn 105,664 14%
Soybean 72,911 91%
Chicago SRW Wheat 26,732 1%
Soybean Meal 35,436 313%
Soybean Oil 12,884 -18%
Live Cattle 25,465 154%
Hogs 15,194 74%
KC HRW Wheat 1,732 -23%
Feeder Cattle 5,134 261%
Class III Milk 1,805 5%

Source: CME Group

Short-Term option ADV

  Weekly options Short-Dated New Crop options
  Nov ADV Nov ADV
Corn 6,220 1,188
Soybean 3,578 425
Chicago SRW Wheat 1,286  
Soybean Meal 634  
Soybean Oil 110  

Source: CME Group

Soybean Meal

Following record activity in October, Soybean Meal options posted a new all-time ADV in November with 35K contracts per day along with all-time average open interest of 287K. Weekly and Calendar Spread options are gaining utilization as the meal market handles increased activity.

Soybean Meal volatility had a 10-point range during the month of November (26 to 36), showcasing the shifts in market sentiment throughout the month.

Soybean complex

Soybean Meal implied volatility measured by CVOL (green line) surpassed Soybean Oil (orange line) during November, which is atypical looking at historical volatility within the Soybean product complex.

Soybean Oil

Looking further into Soybean Oil, the market priced in a lot of convexity (more of a volatility smile) heading into the middle of November, then subsiding the later half of the month. The increase in convexity is a sign the market was pricing in bigger moves heading into the second week of November.

Live and Feeder Cattle options

With the significant move down in Live Cattle and Feeders futures during November, implied volatility had a dramatic spike upward. Feeder Cattle CVOL (GFVL) reached a high of 23, 10 points higher than November 6.

Live Cattle options posted a record 26K contracts in November, averaging 293K in open interest. Feeder Cattle also had record volume with over 5K contacts trading a day during November with the fourth highest average open interest of 66K contracts.

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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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