September 2023 Highlights

Soybean Oil futures saw significant decreases during September as Live Cattle futures hit all-time highs. Learn more on how the options market reacted.


In this report
Subscribe to get the latest updates

Option Products

Sept ADV

Year/Year % Change

Corn

86,529

-12%

Soybean

74,488

45%

Chicago SRW Wheat

24,497

-17%

Soybean Oil

19,005

109%

Soybean Meal

9,980

-5%

Hogs

13,364

16%

Live Cattle

17,885

71%

KC HRW Wheat

2,129

-7%

Feeder Cattle

3,901

135%

Class III Milk

912

-37%

 

Source: CME Group

Short-Term option ADV

 

September ADV

 

WEEKLY OPTIONS

SHORT-DATED NEW CROP OPTIONS

Corn

5,188

804

Soybean

3,121

52

Chicago SRW Wheat

942

 

Soybean Meal

136

 

Soybean Oil

40

 

Source: CME Group


Soybean Oil

Out of all listed commodities at CME Group, Soybean Oil futures decreased the most in September falling ~10%. Volatility and skew continue to trend lower over the last 3 months following suite with the underlying price.

Looking at CVOL Down Var and Up Var you can see the skew index is decreasing because of increased Down Var or downside volatility. The put/call ratio stayed around .5 indicating that there is 1 put outstanding for every 2 calls.


Lumber options

CME Group launched a new Lumber contract in August 2022. Since then, there has been consistent growth in Lumber options, seeing record volumes in September that are three times the next largest month of over 75 contracts traded per day. Participation in the product continues to increase with open interest over 1,100 contracts, trading over $1M notional per day in September.


Live Cattle

Live Cattle options ADV reached 17,885 (+71% YoY) with average open interest of 286, 620 (+12% YoY) in September as futures prices hit all-time highs. Measured by CVOL (LEVL), implied volatility trended higher throughout the month as skew decreased.


Stay in the know

Stay up to date with the latest CME Group Agricultural news, products and more.

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.

CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). 
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

© 2024 CME Group Inc. All rights reserved.