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
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|
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.
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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.
