Monthly Highlights
  • Volatility levels continue to level off across the Grain and Oilseed space; December Soybean Oil implied volatility fell below 30%, which has not happened since June.
  • Looking at the historical levels of implied volatility for December Corn, 2021 is trading below the seasonal average with futures trading at the fourth highest level.
  • Lean Hog December implied volatility rose from 27% to 38% as futures prices fell over 12% in early September, only to reverse course and rally up to 85 cents per pound, with implied volatility returning to 27%.
  • Calendar Spread options held the third highest average open interest in September with 40K contracts and second highest ADV of 844.  OI is primarily in the Corn consecutive contract (Dec 21/Mar 22) and the July/Dec CSO.
Option Product Sept ADV Year/Year % Change
Corn 87,405 -7%
Soybean 44,720 -45%
Chicago SRW Wheat 17,465 -43%
Hogs 12,481 -12%
Live Cattle 10,091 35%
Soybean Oil 9,462 -18%
Soybean Meal 7,255 -58%
Ag Weekly Option 6,677 -31%
KC HRW Wheat 3,215 -5%
Class III Milk 1,118 -5%
Feeder Cattle 1,042 34%
Calendar Spread Options 844 72%

CVOL   The CVOL Indexes help show the dramatic decrease in implied volatility from earlier this summer (CVL Index = Corn and is the blue line, SVL Index = Soybeans and is the orange line, SOVL = Soybean Oil and is the green line).

December Corn Implied Volatility - End of September – Looking at a ranking of the December futures price at the end of September next to implied volatility levels, the table below shows that 2021 ranks fourth in terms of the futures price with 2021 implied volatility trading below the 15-year average. 

Calendar Spread options – An increase in liquidity providers is helping drive Calendar Spread option volume and open interest growth as market participants help hedge spread risk through options. In September, 87% of CSO volume was done as a cross transaction.

Lean Hogs – Lean Hogs had a roller-coaster of a month with AFS fears helping drive prices down only to reverse course after the USDA Sept. 24 Hog inventory fell below trade expectations.

Contact information

Steven A Stasys
Senior Director, Agricultural Options

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