Agricultural Options September 2018
Ag Option Product Suite Highlights Wheat complex continues to show strong volume with HRW implied volatility trading 1% higher than SRW. HRW/SRW Wheat call skew showing strength compared to historical trends Open interest continues to climb in Lean Hog options given the recent volatility Option Product Sept ADV Year/Year % Change Corn 89,035 12% Soybean 56,139-19% Chicago SRW Wheat 36,558 69% Soybean Meal 10,357 64% Live Cattle 10,210 3% Hogs 13,314-6% Soybean Oil 6,908 3% Short-Dated New Crop Option 310-27% KC HRW Wheat 3,847 294% Ag Weekly Option 2,926-37% 2
SRW - HRW Implied Vol Comparing December HRW Volatility to SRW Volatility HRW Wheat Implied Vol is currently1% over SRW Wheat Vol, this is a 4% difference compared to 2014 SRW Wheat ATM Implied Vol minus HRW Wheat ATM Implied Vol 5.00% 4.00% 3.00% 2.00% 1.00% 0.00% -1.00% -2.00% 88 86 84 80 78 74 72 70 66 64 60 58 56 52 50 46 44 42 38 36 32 30 Days Till Expiration 2014 2015 2016 2017 2018 3
25 Delta Skew (Call - Put) December Wheat 25 Delta Call Skew (Call Put), current premium elevated for calls compared to 4 year average In September, the most active strike for SRW was the Dec 550 call trading 46,806 times, for HRW the Dec 600 calls traded 6,182 times 25 Delta Skew (Call - Put ) December Contract 7.00% 6.00% 5.00% 4.00% 3.00% 2.00% 1.00% 0.00% Days Till Expiration HRW Average HRW 18 SRW Average SRW 18 4
Open Interest ADV Lean Hog Open Interest and volume- year to date In September, the most active strike was the Dec 50 put trading 12,090 times 350,000 35,000 300,000 30,000 250,000 25,000 200,000 20,000 150,000 15,000 100,000 10,000 50,000 5,000 - - Date Volume Open Interest 5
Volume Time Series 6
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
201202 201204 201206 201208 201210 201212 201302 201304 201306 201308 201310 201312 201402 201404 201406 201408 201410 201412 201502 201504 201506 201508 201510 201512 201602 201604 201606 201608 201610 201612 201702 201704 201706 201708 201710 201712 201802 201804 201806 201808 Monthly Volume Livestock Option Volume By Venue 900,000 800,000 700,000 600,000 500,000 400,000 300,000 200,000 100,000 0 Floor spread Floor trade GLOBEX spread GLOBEX trade
201202 201204 201206 201208 201210 201212 201302 201304 201306 201308 201310 201312 201402 201404 201406 201408 201410 201412 201502 201504 201506 201508 201510 201512 201602 201604 201606 201608 201610 201612 201702 201704 201706 201708 201710 201712 201802 201804 201806 201808 Monthly Volume % Globex Dairy Option Volume By Venue 80,000 100% 70,000 60,000 50,000 90% 80% 70% 60% 40,000 50% 30,000 20,000 10,000 40% 30% 20% 10% - 0% Floor spread Floor trade GLOBEX spread GLOBEX trade % Globex
Contact Info Steven A Stasys Senior Director, Agricultural Options steven.stasys@cmegroup.com 312-648-3822
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