September 2020 Agricultural Options Update

Ag option product suite

Monthly highlights

  • Weekly options saw the highest monthly ADV of the year (10K) with weekly Soybean options hitting an all-time ADV record of over 2K.
  • Soybean Meal options had the third highest monthly ADV on record with an uptick in implied volatility and call skew during the month.
  • November Soybean call skew was at record highs as futures rallied 88 cents during September.

Source: CME Group

Weekly options – The entire month of September was very active in weekly Ag options, with the most volume occurring the day before (23K) and the day of (25K) the September 11 WASDE release. Weekly Soybean options traded over 10K contracts on the day of the September WASDE release and had their highest monthly ADV ever in September.

Source: CME Group

Soybean Meal -  Dec Meal implied vol is over 20%, the first time since 2016 during September, with the  25 delta call skew hovering over 2% which has not occurred since 2014.

*Powered by QuikStrike

In September, Soybean Meal options climbed to a recently new open interest record and printed the third highest ADV number ever.

Source: CME Group

Soybean skew - The chart below depicts the November 25 delta skew in two different ways. The blue line is the absolute difference between the 25-delta call and 25-delta put. Since 2007, the difference has never been greater. The grey and light blue lines are representative of QuikSkew which is an analytical measurement provided by QuikStrike. It looks at the implied call/put in percentage terms to the at-the-money implied volatility. For example, November 25-delta calls are 15% more expensive than the ATM calls (18.25% for the ATM and 21% for the 25 delta call). Both ways of measurement show call skew at historic highs for November Soybeans at this time of year.

*Powered by QuikStrike

Contact Information

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

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