Monthly Agricultural Review JUNE 216
Monthly Agricultural Review AGRICULTURAL TRADING HIGHLIGHTS June 216 Average daily volume for June 216 Grain and Oilseed futures was 1,329,415 contracts, compared with 1,281,833 during June 215, an increase of 3.71 percent. Average daily volume for June 216 Grain and Oilseed options was 324,37 contracts, compared with 292,86 during June 215, an increase of 11.5 percent. Average daily volume for June 216 Oilseed complex futures was 587,692 contracts, compared with 562,843 during June 215, an increase of 4.41 percent. Average daily volume for June 216 Oilseed complex options was 122,857 contracts, compared with 116,861 during June 215, an increase of 5.13 percent. Electronic average daily volume for June 216 Grain and Oilseed options was 216,891 contracts, compared with 177,73 during June 215, an increase of 22.3 percent. Average daily volume for June 216 Live Cattle, Lean Hog and Feeder Cattle futures and options was 12,373 contracts, compared with 19,896 during June 215, a decrease of 6.85 percent. Electronic average daily volume for June 216 Live Cattle and Lean Hog options was 14,769 contracts, compared with 14,493 during June 215, an increase of 1.9 percent. 1
www.cmegroup.com Scorecard - Average Daily Volume and Open Interest Statistics Ticker Symbols Electronic - Pit June 216 Average Daily Volume $ Notional ($ Millions) $ Notional ($ Millions) Spot Month Close on 3-Jun-'16 Spot Month Close in US$/MT 3-Jun-'16 2-Day Historical Volatility Corn Futures ZC C 514,637 $9,45 1,34,462 $23,839 365 1/2 $143.89 35.22% Mini Futures XC YC 1,24 $5 9,324 $34 Total Futures 515,877 $9,41 1,313,786 $23,873 Options OZC CY/PY 164,787 1,349,889 Open Interest Wheat Futures ZW W 167,874 $3,739 415,257 $9,25 445 1/2 $163.69 25.68% Mini Futures XW YW 44 $2 1,152 $5 Total Futures 168,315 $3,741 416,49 $9,255 Options OZW WY/WZ 33,661 24,884 KC HRW Wheat Futures KE KW 56,86 $1,185 217,338 $4,591 422 1/2 $155.24 25.48% Options OKE H 2,952 39,685 Soybeans Futures ZS S 324,317 $19,41 783,575 $46,6 1174 1/4 $431.46 25.65% Mini Futures XK YK 1,619 $19 34,167 $41 Total Futures 325,935 $19,6 817,742 $46,47 Options OZS CZ/PZ 12,996 1,29,54 Soybean Oil Futures ZL BO 128,34 $2,427 36,572 $6,821 31.53 $695.12 22.1% Options OZL OY/OZ 9,595 134,738 Soybean Meal Futures ZM SM 135,72 $5,481 379,36 $15,394 45.8 $447.32 26.72% Options OZM MY/MZ 1,266 212,94 Rough Rice Futures ZR RR 1,56 $33 9,317 $198 1.645 $234.68 24.2% Options OZR RRC/RRP 64 2,98 Oats Futures ZO O 1,566 $16 9,878 $1 22 1/2 $117.48 28.58% Options OZO OO/OV 5 1,65 Live Cattle Futures LE LC 38,749 $1,78 242,671 $11,146 114.825 23.8% Options LE CK/PK 12,836 219,89 Lean Hog Futures HE LH 42,627 $1,42 257,38 $8,571 83.275 17.89% Options HE CH/PH 8,162 159,56 Feeder Cattle Futures GF FC 42,627 $3,76 42,647 $3,77 144.3 22.3% Options GF KF/JF 8,162 35,371 Class III Milk Futures DC DA 2,21 $66 29,54 $951 16.37 41.55% Options DC DA 1,963 71,779 2
Monthly Agricultural Review Grain and Oilseed Combined Futures and Options - Average Daily Volume Futures Options 2,, 1,8, 1,6, 1,4, 1,2, 1,, 8, 6, 4, 2, Corn, Wheat, KC HRW Wheat Futures - Average Daily Volume 9, Corn Wheat KC HRW Wheat 8, 7, 6, 5, 4, 3, 2, 1, 3
www.cmegroup.com Soybean Complex Futures - Average Daily Volume Soybeans Soybean Meal Soybean Oil 8, 7, 6, 5, 4, 3, 2, 1, Oats and Rice Futures - Average Daily Volume 8, Oats Rough Rice 7, 6, 5, 4, 3, 2, 1, 4
Monthly Agricultural Review Mini Grain and Oilseed Futures - Average Daily Volume Mini Soybeans Mini Corn Mini Wheat 6, 5, 4, 3, 2, 1, Options - Average Daily Volume Corn Soy Complex Wheat KC HRW Options 35, 3, 25, 2, 15, 1, 5, 5
www.cmegroup.com Live Cattle, Lean Hog, Feeder Cattle Futures - Average Daily Volume 16, Live Cattle Lean Hogs Feeder Cattle 14, 12, 1, 8, 6, 4, 2, Live Cattle, Lean Hog, Feeder Cattle Options - Average Daily Volume Live Cattle Lean Hogs Feeder Cattle 45, 4, 35, 3, 25, 2, 15, 1, 5, 6
Monthly Agricultural Review Corn and Wheat Electronic Options - Average Daily Volume Corn Electronic ADV Corn % Electronic ADV Wheat Electronic ADV Wheat % Electronic ADV 12, 1% 9% 1, 8% 8, 6, 7% 6% 5% 4, 4% 3% 2, 2% 1% % Soybean Complex Electronic Options - Average Daily Volume 12, Soybean Electronic ADV Soybean Oil Electronic ADV Soybean % Electronic ADV Soybean Meal Electronic ADV Soybean Meal % Electronic ADV Soybean Oil % Electronic ADV 9% 1, 8% 7% 8, 6, 6% 5% 4% 4, 3% 2, 2% 1% % 7
www.cmegroup.com Live Cattle and Lean Hog Electronic Options - Average Daily Volume Live Cattle Electronic ADV Lean Hog % Electronic ADV Lean Hog Electronic ADV Live Cattle % Electronic ADV 25, 1% 9% 2, 8% 15, 1, 5, 7% 6% 5% 4% 3% 2% 1% % Electronic Drain and Oilseeds Options Spreads tercentages (1%+ marked) - June 216 Butterfly 5% Condor 1% Conversion/ Reversal 18% Vertical 52% Diagonal 2% General Spread 5% Strangle 3% Horizontal Option 1% Horizontal Straddle 2% Iron Butterfly 1% Risk reversal 2% Straddle 7% 8
Monthly Agricultural Review Electronic Livestock Options Spreads tercentages (1%+ marked) - June 216 Butterfly 4% Conversion/ Reversal 16% Diagonal 2% General Spread 4% Vertical 56% Horizontal Option 1% Risk reversal 13% Straddle 2% Strangle 2% Corn, Wheat, KC HRW Wheat Monthly Historical Volatility - Spot Month Wheat Corn KC HRW Wheat 9% 8% 7% 6% 5% 4% 3% 2% 1% % 9
www.cmegroup.com Soybeans Complex Monthly Historical Volatility - Spot Month 7% Soybeans Soybean Meal Soybean Oil 6% 5% 4% 3% 2% 1% % Rough Rice and Oats Monthly Historical Volatility - Spot Month Rough Rice Oats 8% 7% 6% 5% 4% 3% 2% 1% % 1
Monthly Agricultural Review Live Cattle, Lean Hog, Feeder Cattle Monthly Historical Volatility - Spot Month Live Cattle Lean Hog Feeder Cattle 7% 6% 5% 4% 3% 2% 1% % Corn - Spot Month, 2 Day Historical Volatility and Implied Volatility Settlement Price Cents/Bu 45 Settlement Price Historical Volatility Implied Volatility Volatility 8% 425 7% 4 6% 375 5% 35 4% 325 3% 3 2% 275 1% 25 % 11
www.cmegroup.com Soybeans - Spot Month, 2 Day Historical Volatility and Implied Volatility Settlement Price Cents/Bu 12 Settlement Price Historical Volatility Implied Volatility Volatility 8% 11 1 7% 6% 5% 9 4% 8 7 3% 2% 1% 6 % Settlement Price Cents/Bu 55 Wheat - Spot Month, 2 Day Historical Volatility and Implied Volatility Settlement Price Historical Volatility Implied Volatility Volatility 8% 5 7% 6% 45 5% 4% 4 3% 35 2% 1% 3 % 12
Monthly Agricultural Review Average Hourly Volumes - All Hours - June 216 25, 2, 15, 1, Lean Hog Futures Live Cattle Futures Soybean Oil Futures Soybean Meal Futures Soybean Futures Wheat Futures Corn Futures 5, Chicago Time Average Hourly Volumes - Extended Trading Hours - June 216 4, 35, Lean Hog Futures Soybean Oil Futures Soybean Futures Corn Futures Live Cattle Futures Soybean Meal Futures Wheat Futures 3, 25, 2, 15, 1, 5, Chicago Time 13
www.cmegroup.com 9, 8, CFTC COT Report - Corn Futures Open Positions - Long Swap Dealers Long Managed Money Long % Swap Dealers Long % Managed Money Long 4% 35% Open Interest - 7, 6, 5, 4, 3, 2, 1, 3% 25% 2% 15% 1% 5% % Source: CFTC 35, CFTC COT Report - Wheat Futures Open Positions - Long Swap Dealers Long Managed Money Long % Swap Dealers Long % Managed Money Long 6% 3, 5% Open Interest - 25, 2, 15, 1, 5, 4% 3% 2% 1% % Source: CFTC 14
Monthly Agricultural Review CFTC COT Report - KC HRW Wheat Futures Open Positions - Long 1, Swap Dealers Long Managed Money Long % Swap Dealers Long % Managed Money Long 4% Open Interest - 9, 8, 7, 6, 5, 4, 3, 2, 1, 35% 3% 25% 2% 15% 1% 5% % Source: CFTC 4, CFTC COT Report - Soybean Futures Open Positions - Long Swap Dealers Long Managed Money Long % Swap Dealers Long % Managed Money Long 4% 35, 35% Open Interest - 3, 25, 2, 15, 1, 3% 25% 2% 15% 1% 5, 5% % Source: CFTC 15
www.cmegroup.com CFTC COT Report - Soybean Meal Futures Open Positions - Long 16, 14, Swap Dealers Long Managed Money Long % Swap Dealers Long % Managed Money Long 45% 4% Open Interest - 12, 1, 8, 6, 4, 2, 35% 3% 25% 2% 15% 1% 5% % Source: CFTC 25, CFTC COT Report - Soybean Oil Futures Open Positions - Long Swap Dealers Long Managed Money Long % Swap Dealers Long % Managed Money Long 4% Open Interest - 2, 15, 1, 5, 35% 3% 25% 2% 15% 1% 5% % Source: CFTC 16
Monthly Agricultural Review CFTC COT Report - Live Cattle Futures Open Positions - Long 3, Swap Dealers Long Managed Money Long % Swap Dealers Long % Managed Money Long 45% Open Interest - 25, 2, 15, 1, 5, 4% 35% 3% 25% 2% 15% 1% 5% % Source: CFTC 2, 18, CFTC COT Report - Lean Hog Futures Open Positions - Long Swap Dealers Long Managed Money Long % Swap Dealers Long % Managed Money Long 45% 4% Open Interest - 16, 14, 12, 1, 8, 6, 4, 2, 35% 3% 25% 2% 15% 1% 5% % Source: CFTC 17
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