Monthly Highlights
  • Looking at the CVOL Index, Soybean implied volatility is taking a very different path compared to 2020 as the North American harvest finishes. 
  • Lean Hog option open interest is up 24% compared to October 2020; Calendar Spread option open interest is up 35%.
  • This year 60% of Ag option volume on Globex is done in the form of a strategy. This is up 15% compared to the first three quarters of 2020 and shows a growing sophistication level amongst Ag traders.
  • Soybean Oil is the only Grain and Oilseed December option that has higher implied volatility (30% in 2021 vs. 27% in 2020) at the end of October.
Option Product Sept ADV Year/Year % Change
Corn 82,625 -36%
Soybean 62,089 -30%
Chicago SRW Wheat 23,673 -36%
Soybean Oil 11,626 -13%
Soybean Meal 11,407 -34%
Live Cattle 8,020 -16%
Hogs 7,786 -10%
Ag Weekly Option 6,991 -38%
KC HRW Wheat 4,146 -39%
Class III Milk 1,516 -17%
Short-Dated New Crop Option 1,150 -23%
Feeder Cattle 1,070 -17%

Soybean CVOL (SVL) year-over-year trend – The CVOL Index shows implied volatility start in the low teens in August 2020 and then grow to the high-20s by year end. This year we have seen implied volatility start in the mid-20s and slowly grind down as the North American harvest finishes up. 

Grain and Oilseed volatility landscape – Looking across the complex, Soybean Oil is the only product that has higher implied volatility in the December contract compared to 2020 at the end of October.  

Lean Hog and Calendar Spread options open interest – Lean Hog and Calendar Spread options are both showing strong open interest trends. 

Option strategies – The way Ag options are traded has evolved through the years as risk strategies are refined and short-term option contracts become more prevalent. Option strategies are now the main style of option execution in the Ag space as market participants utilize more advanced trading styles 


Contact information

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


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