Agricultural Options. June 2018
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1 Agricultural Options June 2018 CME GROUP INTERNAL
2 Ag Option Product Suite Highlights Grain & Oilseed markets experienced large ranges in implied volatility and skew throughout June Record percent of volume on Globex done as a recognized spread Max quantity order increased on Globex for select products Option Product June ADV Year/Year % Change Corn 177,009 24% Soybean 106,781 48% Chicago SRW Wheat 40,028-10% Soybean Meal 17,680 94% Live Cattle 8,712-15% Hogs 11,512 15% Soybean Oil 5,323-39% Short-Dated New Crop Option 13,044 89% Ag Weekly Option 4,423 12% KC HRW Wheat 3,460-13% CME GROUP INTERNAL 2
3 Range Implied Vol Range of Implied Volatility in June 12.00% 33.00% 10.00% 8.00% 31.00% 29.00% 27.00% 6.00% 4.00% 25.00% 23.00% 21.00% 2.00% 0.00% 19.00% 17.00% 15.00% Range Low High 3
4 Range Implied Skew Range of Skew (Call-Put) 25 Delta in June 7.00% 13.00% 6.00% 11.00% 5.00% 9.00% 4.00% 7.00% 3.00% 5.00% 2.00% 3.00% 1.00% 1.00% Range Low High 4
5 Percent of Globex Volume via Spread Record, 49% of Grain & Oilseed volume on Globex was done as a spread 60% 50% 40% 30% 20% 10% 0% 5
6 Volume Time Series 6
7 Monthly Volume Grain/Oilseed Option Volume By Venue 9,000,000 8,000,000 7,000,000 6,000,000 5,000,000 4,000,000 3,000,000 2,000,000 1,000,000 0 Floor spread Floor trade GLOBEX spread GLOBEX trade
8 Monthly Volume Weekly Option Volume 140, , ,000 80,000 60,000 40,000 20,000 0 Chicago SRW Wheat Corn Soybean Soybean Meal Soybean Oil 8
9 Monthly Volume Short Dated New Crop Option Volume 800, , , , , , , ,000 0 Chicago SRW Wheat Corn KC Wheat Soybean 9
10 Monthly Volume Livestock Option Volume By Venue 900, , , , , , , , ,000 0 Floor spread Floor trade GLOBEX spread GLOBEX trade
11 % Globex Monthly Volume Dairy Option Volume By Venue 90% 80, % 70% 60% 50% 40% 30% 20% 10% 70, , , , , , , % 0.00 Month Floor spread Floor trade GLOBEX spread GLOBEX trade % Globex
12 Contact Info Steven A Stasys Senior Director, Agricultural Options steven.stasys@cmegroup.com CME GROUP INTERNAL
13 Disclaimer Futures 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. Swaps trading is not suitable for all investors, involves the risk of loss and should only be undertaken by investors who are ECPs within the meaning of section 1(a)12 of the Commodity Exchange Act. Swaps 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 swaps 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. Any research views expressed are those of the individual author and do not necessarily represent the views of the CME Group or its affiliates. CME Group is a trademark of CME Group Inc. The Globe Logo, CME, Globex and Chicago Mercantile Exchange are trademarks of Chicago Mercantile Exchange Inc. CBOT and the Chicago Board of Trade are trademarks of the Board of Trade of the City of Chicago, Inc. NYMEX, New York Mercantile Exchange and ClearPort are registered trademarks of New York Mercantile Exchange, Inc. COMEX is a trademark of Commodity Exchange, Inc. KCBOT, KCBT and Kansas City Board of Trade are trademarks of The Board of Trade of Kansas City, Missouri, Inc. All other trademarks are the property of their respective owners. The information within this presentation has been compiled by CME Group for general purposes only. CME Group assumes no responsibility for any errors or omissions. Additionally, all examples in this presentation are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or the results of actual market experience. All matters pertaining to rules and specifications herein are made subject to and are superseded by official Exchange rules. Current rules should be consulted in all cases concerning contract specifications. Copyright CME GROUP INTERNAL 13
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