October 2020 Agricultural Options Update

Monthly Highlights

  • Across the entire Grain & Oilseed complex, December implied volatility dramatically increased to levels not seen since 2014.
  • With higher volatility, participants ramped up activity in weekly options, posting an ADV of 12K throughout October.
  • KC Wheat options were up 68% YoY in October, with 20% of the volume occurring during non-US trading hours.
  • Pork Cutout options launched on November 9.
  • A new crossing protocol called C-Cross is now live in Livestock and Grain & Oilseed options.

OPTION PRODUCT

OCT ADV

YEAR/YEAR % CHANGE

Corn

130,512

42%

Soybean

85,777

69%

Chicago SRW Wheat

36,522

82%

Hogs

8,059

-45%

Soybean Meal

16,489

112%

Live Cattle

9,738

-5%

Soybean Oil

13,217

79%

Ag Weekly Option

11,979

100%

KC HRW Wheat

6,152

68%

Short-Dated New Crop Option

1,537

143%

Class III Milk 1,810 1%
Feeder Cattle 1,284 32%

Source: CME Group


Increasing implied volatility in the December contract – In October, December implied volatility increased 7 vol points in Soybean Oil, 9 vol points in Corn, 3 vol points in Soybeans, and 6.5 vol points in Chicago Wheat.

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Corn implied volatility – A look at the volatility term structure of Corn shows that all maturities experienced a sizeable increase during the month of October.

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Soybean implied volatilityDecember implied volatility has not been this high since 2014 for Soybeans.

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Wheat - Elevated implied volatility is seen in both KC and Chicago Wheat December implied volatility. KC Wheat options have seen a noticeable increase in volume overall, helped by activity occurring during non-US hours.

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*Source: CME Group.


Weekly options  - Weekly options continue to be used as effective risk management tools, especially in higher volatility environments.

*Source: CME Group.

Contact Information

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

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