Monthly Agricultural Review

Monthly Agricultural Review

Monthly Agricultural Review AGRICULTURAL TRADING HIGHLIGHTS September 216 Average daily volume for September 216 Grain and Oilseed futures was 653,245 contracts, compared with 715,627 during September 215, a decrease of 8.72 percent. Average daily volume for September 216 Grain and Oilseed options was 149,831 contracts, compared with 191,1 during September 215, a decrease of 21.55 percent. Average daily volume for September 216 Oilseed complex futures was 345,466 contracts, compared with 372,682 during September 215, a decrease of 7.3 percent. Average daily volume for September 216 Oilseed complex options was 67,521 contracts, compared with 84,83 during September 215, a decrease of 19.7 percent. Electronic average daily volume for September 216 Grain and Oilseed options was 17,319 contracts, compared with 122,76 during September 215, a decrease of 12.58 percent. Average daily volume for September 216 Live Cattle, Lean Hog and Feeder Cattle futures and options was 134,764 contracts, compared with 13,787 during September 215, an increase of 3.4 percent. Electronic average daily volume for September 216 Live Cattle and Lean Hog options was 24,89 contracts, compared with 2,819 during September 215, an increase of 15.71 percent. 1

www.cmegroup.com Scorecard - Average Daily Volume and Open Interest Statistics Ticker Symbols Electronic - Pit Contracts September 216 Average Daily Volume $ Notional ($ Millions) Contracts $ Notional ($ Millions) Spot Month Close on 3-Sep-'16 Spot Month Close in US$/MT 3-Sep-'16 2-Day Historical Volatility Corn Futures ZC C 214,193 $3,66 1,325,77 $22,311 336 3/4 $132.57 21.24% Mini Futures XC YC 41 $1 8,71 $27 Total Futures 214,594 $3,68 1,333,148 $22,338 Options OZC CY/PY 63,11 1,248,927 Open Interest Wheat Futures ZW W 69,41 $1,395 466,454 $9,376 42 $147.71 17.62% Mini Futures XW YW 24 $1 1,89 $7 Total Futures 69,65 $1,396 468,263 $9,383 Options OZW WY/WZ 18,4 27,342 KC HRW Wheat Futures KE KW 23,175 $481 234,584 $4,873 415 1/2 $152.67 15.52% Options OKE H 82 35,721 Soybeans Futures ZS S 16,626 $7,662 643,93 $3,714 954 $35.53 1.7% Mini Futures XK YK 826 $8 22,339 $213 Total Futures 161,452 $7,67 666,242 $3,927 Options OZS CZ/PZ 53,841 799,417 Soybean Oil Futures ZL BO 12,56 $2,48 412,228 $8,271 33.44 $737.23 24.29% Options OZL OY/OZ 7,463 127,649 Soybean Meal Futures ZM SM 82,784 $2,48 359,912 $1,783 299.6 $33.25 18.31% Options OZM MY/MZ 6,217 155,425 Rough Rice Futures ZR RR 553 $11 11,271 $223 9.885 $217.93 2.8% Options OZR RRC/RRP 41 2,237 Oats Futures ZO O 448 $4 1,52 $94 178 1/4 $13.41 2.32% Options OZO OO/OV 38 3,323 Live Cattle Futures LE LC 63,68 $2,548 265,592 $1,637 1.125 24.52% Options LE CK/PK 15,767 25,5 Lean Hog Futures HE LH 4,466 $712 223,84 $3,937 43.975 39.99% Options HE CH/PH 14,923 212,292 Feeder Cattle Futures GF FC 4,466 $2,421 43,53 $2,64 119.65 26.43% Options GF KF/JF 14,923 29,561 Class III Milk Futures DC DA 1,338 $42 33,871 $1,59 15.63 22.23% Options DC DA 2,51 84,82 2

Contracts Contracts 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

Contracts Contracts 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

Contracts Contracts Monthly Agricultural Review Mini Grain and Oilseed Futures - Average Daily Volume Mini Soybeans Mini Corn Mini Wheat 6, 5, 4, 3, 2, 1, 35, Options - Average Daily Volume Corn Soy Complex Wheat KC HRW Options 3, 25, 2, 15, 1, 5, 5

Contracts Contracts 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

Contracts Contracts 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 Soybean Electronic ADV Soybean Meal Electronic ADV Soybean Oil Electronic ADV Soybean Meal % Electronic ADV 12, Soybean % Electronic ADV Soybean Oil % Electronic ADV 9% 8% 1, 7% 8, 6% 6, 5% 4% 4, 3% 2, 2% 1% % 7

Contracts 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% 7% 15, 6% 5% 1, 4% 3% 5, 2% 1% % Electronic Grain and Oilseeds Options Spreads Percentages (1%+ marked) - September 216 Butterfly 5% Condor 1% Vertical 38% Conversion/ Reversal 17% Diagonal 3% General Spread 6% Horizontal Option 2% Horizontal Straddle 3% Strangle 8% Straddle 13% Risk reversal 2% 8

Monthly Agricultural Review Electronic Livestock Options Spreads Percentages (1%+ marked) - September 216 Butterfly 2% Condor 1% Conversion/ Reversal 9% Diagonal 1% General Spread 7% Horizontal Option 1% Horizontal Straddle 1% Risk reversal 1% Vertical 64% Strangle 1% Straddle 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 Futures - 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 Soybean Futures - 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 6 Wheat Futures - Spot Month, 2 Day Historical Volatility and Implied Volatility Settlement Price Historical Volatility Implied Volatility Volatility 8% 55 5 7% 6% 5% 45 4% 4 35 3% 2% 1% 3 % 12

Contracts Contracts Monthly Agricultural Review Average Hourly Volumes - All Hours - September 216 16, 14, 12, 1, 8, Lean Hog Futures Live Cattle Futures Soybean Oil Futures Soybean Meal Futures Soybean Futures Wheat Futures Corn Futures 6, 4, 2, Chicago Time Average Hourly Volumes - Extended Trading Hours - September 216 16, 14, Lean Hog Futures Soybean Oil Futures Soybean Futures Corn Futures Live Cattle Futures Soybean Meal Futures Wheat Futures 12, 1, 8, 6, 4, 2, Chicago Time 13

Open Interest - Contracts Open Interest - Contracts 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% 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% 25, 2, 15, 1, 5, 4% 3% 2% 1% % Source: CFTC 14

Open Interest - Contracts Open Interest - Contracts Monthly Agricultural Review CFTC COT Report - KC HRW Wheat Futures Open Positions - Long 12, Swap Dealers Long Managed Money Long % Swap Dealers Long % Managed Money Long 4% 1, 35% 3% 8, 25% 6, 2% 4, 15% 1% 2, 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% 3, 3% 25, 25% 2, 2% 15, 15% 1, 1% 5, 5% % Source: CFTC 15

Open Interest - Contracts Open Interest - Contracts 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% 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% 2, 35% 3% 15, 1, 25% 2% 15% 5, 1% 5% % Source: CFTC 16

Open Interest - Contracts Open Interest - Contracts 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% 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% 16, 14, 12, 1, 8, 6, 4, 2, 35% 3% 25% 2% 15% 1% 5% % Source: CFTC 17

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