March Options Review

  • 13 Apr 2020
  • By CME Group

Reviews by asset class

Interest Rates | Equity Index | Energy | Agricultural | FX | Metals

March by asset class

  ADV ADV YoY % Globex Open Interest OI YoY
Total Options 6,298,441 (record) +54% 71% 76,182,098 +2%
Interest Rates 4,261,071 +45% 62% 58,582,886 -2%
Equity Index 1,197,135 +103% 98% 4,723,951 +29%
Energy 395,659 +126% 64% 7,182,384 +28%
Agricultural 272,300 +4% 94% 3,140,210 -5%
Metals 111,886 +57% 77% 1,824,573 +16%
FX 60,391 +2% 99% 728,094 +17%

Unprecedented volatility drove record options trading.

Q1 options volume during Asian Trading Hours +111% vs. 2019.

Q1 options volume during European Trading Hours +56% vs. 2019.

Interest Rate options

  Symbol ADV ADV YoY % Globex Open Interest OI YoY
Eurodollars GE 2,982,993 +65% 50% 50,318,888 -4%
10-Year Note OZN 751,828 +6% 90% 3,649,459 +1%
5-Year Note OZF 354,581 (record) +57% 85% 3,299,562 +35%
T-Bond OZB 146,082 -9% 93% 850,801 -22%
2-Year Note OZT 25,453 -28% 69% 434,071 -3%

5-Year Note options saw outsized trading, hitting record ADV and OI.

Treasury options open interest +117% YTD to a record 12.4M contracts. Following the March expiry, OI more than doubled in just two weeks (2/24-3/5).

View Eurodollar options volatility term structure by underlying.

Source: QuikStrike

Equity Index options

  Symbol ADV ADV YoY Open Interest OI YoY
E-mini S&P 500 options   1,156,301 +111% 4,418,869 +30%
Quarterlies ES 484,393 +269% 1,828,943 +19%
Monday Weekly E1A-E5A 90,637 +92% 51,157 -34%
Wednesday Weekly E1C-E5C 110,698 +97% 144,049 +253%
Friday Weekly EW1-EW4 367,471 +68% 1,757,846 +42%
End-of-Month EW 103,102 +9% 636,874 +22%
S&P 500 options   22,149 -24% 152,852 -10%
Quarterlies SP 7,305 +22% 65,803 +82%
Monday Weekly S1A-S5A 1,227 -71% 329 -97%
Wednesday Weekly S1C-S5C 1,416 -54% 2,860 -14%
Friday Weekly EV1-EV4 10,440 +18% 67,507 -16%
End-of-Month EV 1,762 -74% 16,353 -57%
E-mini NASDAQ-100 options   15,280 +73% 123,131 +122%
Quarterlies NQ 7,197 +157% 41,578 +113%
Weekly QN1-QN4 6,811 +53% 70,537 +167%
End-of-Month QNE 1,272 -18% 11,016 +16%
E-mini Russell 2000 options RTO 3,126 +32% 26,967 -8%
E-mini Dow ($5) options YM 262 +6% 1,973 -30%
Bitcoin options   17 N/A 159 N/A

With 30-day implied volatility of E-mini S&P options spiking as high as 78.54 in March, Equity options posted their second highest monthly ADV ever.

E-mini S&P 500 options markets are pricing extended volatility three and six months out.

Source: QuikStrike

Energy options

  Symbol Settlement ADV ADV YoY % Globex Open Interest OI YoY
Crude Oil options     244,600 +96% 71% 4,425,676 +10%
WTI Crude Oil LO Physical 204,834 +109% 81% 2,725,326 +8%
WTI 1 Month CSO Physical WA Physical 14,670 +49% 4% 604,213 +15%
WTI-Brent Spread BV Financial 4,624 +310% 3% 227,685 +57%
WTI Weeklies LO1-5 Physical 4,951 +93% 99% 5,718 +82%
WTI 1 Month CSO Financial 7A Financial 2,716 -1% 0% 223,425 +78%
Brent Futures-Style BZO Financial 3,576 -24% 29% 123,253 -26%
WTI Average Price AAO Financial 6,920 +55% 0% 410,876 +18%
Natural Gas options     149,267 +211% 53% 2,688,879 +82%
Natural Gas European LN Financial 136,270 +218% 53% 2,440,541 +75%
Natural Gas American ON Physical 6,806 +65% 98% 77,861 +48%
Natural Gas 1 Month CSO G4 Financial 1,414 +278% 0% 53,300 +1140%
Natural Gas 3 Month CSO G3 Financial 1,877 +766% 0% 68,750 +1557%
Natural Gas 6 Month CSO G6 Financial 2,059 +10710% 0% 0 N/A
Refined Product options     1,579 0% 22% 54,949 -34%
NY Harbor ULSD OH Physical 823 -17% 23% 28,768 -43%
RBOB Gasoline OB Physical 582 +18% 26% 9,472 -44%

WTI volatility levels higher than any benchmark commodity market in the past 10 years.

Markets are pricing extended WTI volatility six and 12 months out. Downside puts are trading at record premium compared to upside calls and open interest is rapidly building in the lowest available strikes.

Source: QuikStrike

Open interest in Energy options +48% YTD to 7.6M contracts as of 4/8, the highest since Dec 2018.

Agricultural options

  Symbol ADV ADV YoY % Globex Open Interest OI YoY
Corn OZC 90,489 -16% 95% 873,561 -23%
Soybean OZS 58,937 +44% 94% 595,918 +12%
Chicago SRW Wheat OZW 40,757 +3% 95% 385,882 -5%
Live Cattle LE 17,171 +42% 95% 236,669 +11%
Lean Hogs HE 17,032 -35% 98% 315,640 -13%
Soybean Meal OZM 15,590 +158% 93% 113,802 +4%
Soybean Oil OZL 9,680 +118% 87% 146,538 +72%
KC HRW Wheat OKE 5,823 +12% 97% 84,495 -13%
Short-Dated New Crop Multi 5,056 +25% 92% 102,172 +2%
Weekly Corn ZC1-5 3,098 -50% 90% 7,576 -43%
Class III Milk DC 2,192 +59% 99% 73,836 -1%
Feeder Cattle GF 2,095 +32% 97% 28,327 +9%
Cash Settled Cheese CSC  850 +106% 98% 32,277 -9%
Grain Calendar Spread options Multi 798 +204% 38% 53,804 +84%
Nonfat Dry Milk GNF 729 +164% 80% 31,362 +24%
Class IV Milk GDK 549 +178% 98% 14,614 +18%

Markets saw record trading during non-US hours for Chicago Wheat, Soybeans, and Soybean Oil.

Dairy options posted record ADV of 4.7K contracts.

FX options

  Symbol ADV ADV YoY % Globex Open Interest OI YoY
EUR/USD EUU 28,993 +6% 99% 285,826 +16%
JPY/USD JPU 14,046 +41% 98% 144,112 +52%
AUD/USD ADU 6,790 +36% 99% 101,305 +67%
GBP/USD GPU 6,239 -45% 99% 110,718 -25%
CAD/USD CAU 4,139 -25% 100% 70,936 +4%
CHF/USD CHU 107 -35% 100% 6,937 +110%
NZD/USD 6N 49 +1518% 100% 1,612 +2342%
MXN/USD 6M 28 -69% 100% 6,640 +203%

Open interest in FX options +79% since Jan 3, including a peak of 868K on March 5 – the highest level since June 2018.

In their first full month of trading, Monday Weekly FX options averaged over 400 contracts per day with open interest topping 4.5K contracts. EUR and JPY are most active.

Metals options

  Symbol ADV ADV YoY % Globex Open Interest OI YoY
Gold OG 87,389 +55% 75% 1,576,120 +25%
Silver SO 12,451 +109% 88% 159,573 -31%
Gold Weeklies OG1-5 8,161 +55% 91% 19,381 +2%
Copper HX 2,828 -9% 58% 49,305 +1%
Silver Weeklies SO1-5 657 +198% 100% 687 -20%
Platinum PO 207 +122% 10% 9,995 +119%
Palladium PAO 75 0% 10% 2,657 +40%

In Q1, 24% of Gold options were traded during non-US hours.

Weekly Gold options posted ADV of 8K contracts/day, a 50th consecutive month of YoY growth

Open Interest as of 3/31/20, unless otherwise specified
YoY – Compares current period 2020 to same period 2019
MoM – Compares current month 2020 to previous month 2020

Futures and options trading is not suitable for all investors, and involves the risk of loss. Futures are a leveraged investment, and because only a percentage of a contract’s value is required to trade, it is possible to lose more than the amount of money deposited for a futures position. Therefore, traders should only use funds that they can afford to lose without affecting their lifestyles. And only a portion of those funds should be devoted to any one trade because they cannot expect to profit on every trade. All references to options refer to options on futures.

CME Group is a trademark of CME Group Inc. The Globe logo, CME, E-mini and Globex are trademarks of Chicago Mercantile Exchange Inc. CBOT is a trademark of the Board of Trade of the City of Chicago, Inc. NYMEX and ClearPort are trademarks of New York Mercantile Exchange, Inc. COMEX is a trademark of Commodity Exchange, Inc. S&P® 500 and S&P MidCap 400™ are trademarks of The McGraw-Hill Companies, Inc., and have been licensed for use by Chicago Mercantile Exchange Inc. NASDAQ-100 is a trademark of The Nasdaq Stock Market, used under license. Dow Jones is a trademark of Dow Jones & Company, Inc. and used here under license. Russell 2000® is a trademark and service mark of the Frank Russell Company, used under license. All other trademarks are the property of their respective owners.

The information within this document has been compiled by CME Group for general purposes only and has not taken into account the specific situations of any recipients of the information. CME Group assumes no responsibility for any errors or omissions. The information in this brochure should not be considered investment advice. All matters pertaining to rules and specifications herein are made subject to and are superseded by official CME, CBOT and NYMEX rules. Current CME/CBOT/NYMEX rules should be consulted in all cases before taking any action.

Copyright © 2020 CME Group Inc. All rights reserved

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