Monthly Agricultural Review

Monthly Agricultural Review

Monthly Agricultural Review AGRICULTURAL TRADING HIGHLIGHTS February 217 Average daily volume for February 217 Grain and Oilseed futures was 1,198,561 contracts, compared with 1,79,276 during January 216, an increase of 11.5 percent. Average daily volume for February 217 Grain and Oilseed options was 23,953 contracts, compared with 163,11 during January 216, an increase of 25.5 percent. Average daily volume for February 217 Oilseed complex futures was 531,148 contracts, compared with 478,58 during January 216, an increase of 11 percent. Average daily volume for February 217 Oilseed complex options was 75,89 contracts, compared with 77,25 during January 216, a decrease of 2.8 percent. Electronic average daily volume for February 217 Grain and Oilseed options was 145,55 contracts, compared with 16,887 during January 216, an increase of 36.13 percent. Average daily volume for February 217 Live Cattle, Lean Hog and Feeder Cattle futures and options was 11,93 contracts, compared with 14,738 during January 216, an increase of 5.91 percent. Electronic average daily volume for February 217 Live Cattle and Lean Hog options was 16,363 contracts, compared with 15,552 during January 216, an increase of 5.21 percent. 1

www.cmegroup.com Scorecard - Average Daily Volume and Open Interest Statistics Ticker Symbols Electronic - Pit Contracts February 217 Average Daily Volume $ Notional ($ Millions) Contracts $ Notional ($ Millions) Spot Month Close on 28-Feb-'17 Spot Month Close in US$/MT 28-Feb-'17 2-Day Historical Volatility Corn Futures ZC C 441,14 $8,368 1,361,513 $25,835 379 1/2 $149.4 17.14% Mini Futures XC YC 564 $2 8,775 $33 Total Futures 441,578 $8,37 1,37,288 $25,868 Options OZC CY/PY 94,367 919,4 Open Interest Wheat Futures ZW W 167,943 $3,726 4,986 $8,897 443 3/4 $163.5 24.33% Mini Futures XW YW 352 $2 1,58 $7 Total Futures 168,295 $3,728 42,494 $8,94 Options OZW WY/WZ 32,745 237,28 KC HRW Wheat Futures KE KW 55,589 $1,288 26,976 $4,797 463 1/2 $17.31 21.93% Options OKE H 1,64 32,483 Soybeans Futures ZS S 273,532 $14,166 684,523 $35,45 135 3/4 $38.57 15.86% Mini Futures XK YK 1,8 $11 2,629 $214 Total Futures 274,612 $14,177 75,152 $35,663 Options OZS CZ/PZ 59,333 499,322 Soybean Oil Futures ZL BO 144,82 $2,933 366,44 $7,46 33.93 $748.3 22.73% Options OZL OY/OZ 8,168 89,439 Soybean Meal Futures ZM SM 113,534 $3,819 37,43 $12,46 336.4 $37.82 15.72% Options OZM MY/MZ 7,588 111,36 Rough Rice Futures ZR RR 1,988 $38 11,83 $226 9.565 $21.87 9.82% Options OZR RRC/RRP 62 1,96 Oats Futures ZO O 878 $11 7,19 $88 244 1/4 $141.71 22.2% Options OZO OO/OV 5 1,883 Live Cattle Futures LE LC 5,44 $2,379 335,75 $15,85 117.925 16.42% Options LE CK/PK 11,167 183,36 Lean Hog Futures HE LH 39,75 $1,57 22,881 $5,973 67.6 24.97% Options HE CH/PH 1,248 151,277 Feeder Cattle Futures GF FC 39,75 $2,436 5,958 $3,177 124.7 18.87% Options GF KF/JF 1,248 33,172 Class III Milk Futures DC DA 1,474 $48 34,79 $1,124 16.16 15.82% Options DC DA 1,81 93,291 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) - February 217 Butterfly 3% Condor 1% Vertical 34% Conversion/ Reversal 19% Diagonal 3% General Spread 6% Strangle 7% Straddle 17% Horizontal Option 2% Horizontal Straddle 3% Risk reversal 3% 8

Monthly Agricultural Review Electronic Livestock Options Spreads Percentages (1%+ marked) - February 217 Butterfly 1% Conversion/ Reversal 11% Diagonal 2% General Spread 6% Vertical 48% Horizontal Option 1% Horizontal Straddle 2% Iron Butterfly 1% Risk reversal 2% Strangle 2% Straddle 4% 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 ( /Bu) 4 Settlement Price Historical Volatility Implied Volatility Volatility 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 ( /Bu) 12 Settlement Price Historical Volatility Implied Volatility Volatility 7% 11 6% 1 5% 9 4% 8 3% 7 2% 6 1% Settlement Price ( /Bu) 48 46 44 42 4 38 36 34 32 3 Wheat Futures - Spot Month, 2 Day Historical Volatility and Implied Volatility Settlement Price Historical Volatility Implied Volatility Volatility 1% 9% 8% 7% 6% 5% 4% 3% 2% 1% % 12

Contracts Contracts Monthly Agricultural Review Average Hourly Volumes - All Hours - February 217 25, 2, 15, Lean Hog Futures Live Cattle Futures Soybean Oil Futures Soybean Meal Futures Soybean Futures Wheat Futures Corn Futures 1, 5, Chicago Time Average Hourly Volumes - Extended Trading Hours - February 217 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

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 2, 18, 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 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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