CME Group Internal PowerPoint Template · 2018. 6. 7. · CME Group Internal PowerPoint Template...
14
CME GROUP INTERNAL © 2018 CME Group. All rights reserved. Agricultural Options May 2018
Transcript of CME Group Internal PowerPoint Template · 2018. 6. 7. · CME Group Internal PowerPoint Template...
CME GROUP INTERNAL © 2018 CME Group. All rights reserved.
Agricultural Options
May 2018
CME GROUP INTERNAL © 2018 CME Group. All rights reserved.
Highlights
• Corn, Soybean and Soybean Meal front-month volatility at historically low levels, exhibiting strong
activity
• Elevated call skew in Corn and Soybean Meal
• Growing open interest heading into summer
Ag Option Product Suite
2
Option Product May ADV Year/Year % Change
Corn 112,749 31%
Soybean 85,911 42%
Chicago SRW Wheat 42,199 26%
Soybean Meal 15,753 82%
Live Cattle 13,928 1%
Hogs 7,202 -24%
Soybean Oil 4,777 -58%
Short-Dated New Crop Option 7,265 154%
Ag Weekly Option 4,522 115%
KC HRW Wheat 3,907 3%
© 2018 CME Group. All rights reserved. 3
Seasonal Implied Volatility Premium - Corn
September Implied Volatility Minus July Implied Volatility
-15.00%
-10.00%
-5.00%
0.00%
5.00%
10.00%
15.00%
12347891011141516171821222324
Implie
d V
ola
tilit
y S
pre
ad
Days Till Experation- July Contract
2018 7 Year Average High Low
© 2018 CME Group. All rights reserved.
Open Interest Change- May
4
Information provided via “This Week in Options” within QuikStrike. The report is
highlighted every Friday on This Week in Futures Options
Product Open Interest Change over
Month
Most Active
Strike
Corn1.8 M
440,064
(32%)
Sept 450 Calls
21,317
Soybeans773 K
227,897
(42%)
Nov 1100 Calls
16,655
Wheat443K
124,488
(39%)
July 500 Put
10,537
Live Cattle456,335
44,569
(44%)
August 97 Put
1,923
© 2018 CME Group. All rights reserved. 5
Soybean Meal July Skew (Call – Put)
-3%
-2%
-1%
0%
1%
2%
3%
4%
5%
6%
Call/
Put
Skew
Days To Expiration
2011 2012 2013 2014 2015 2016 2017 2018
© 2018 CME Group. All rights reserved.
July Soybean Implied Vol vs. 20 Day Historical Vol
6
© 2018 CME Group. All rights reserved.
Volume – Time Series
7
© 2018 CME Group. All rights reserved.
Grain/Oilseed Option Volume By Venue
0
1,000,000
2,000,000
3,000,000
4,000,000
5,000,000
6,000,000
7,000,000
8,000,000
9,000,000
20
120
22
012
04
20
120
62
012
08
20
121
02
012
12
20
130
22
013
04
20
130
62
013
08
20
131
02
013
12
20
140
22
014
04
20
140
62
014
08
20
141
02
014
12
20
150
22
015
04
20
150
62
015
08
20
151
02
015
12
20
160
22
016
04
20
160
62
016
08
20
161
02
016
12
20
170
22
017
04
20
170
62
017
08
20
171
02
017
12
20
180
22
018
04
Mo
nth
ly V
olu
me
Floor spread Floor trade GLOBEX spread GLOBEX trade
© 2018 CME Group. All rights reserved.
Weekly Option Volume
9
0
20,000
40,000
60,000
80,000
100,000
120,000
140,000
20
12
01
20
12
03
20
12
05
20
12
07
20
12
09
20
12
11
20
13
01
20
13
03
20
13
05
20
13
07
20
13
09
20
13
11
20
14
01
20
14
03
20
14
05
20
14
07
20
14
09
20
14
11
20
15
01
20
15
03
20
15
05
20
15
07
20
15
09
20
15
11
20
16
01
20
16
03
20
16
05
20
16
07
20
16
09
20
16
11
20
17
01
20
17
03
20
17
05
20
17
07
20
17
09
20
17
11
20
18
01
20
18
03
20
18
05
Mo
nth
ly V
olu
me
Chicago SRW Wheat Corn Soybean Soybean Meal Soybean Oil
© 2018 CME Group. All rights reserved.
Short Dated New Crop Option Volume
10
0
100,000
200,000
300,000
400,000
500,000
600,000
700,000
800,000
Mo
nth
ly V
olu
me
Chicago SRW Wheat Corn KC Wheat Soybean
© 2018 CME Group. All rights reserved.
Livestock Option Volume By Venue
0
100,000
200,000
300,000
400,000
500,000
600,000
700,000
800,000
900,000
20
120
22
012
04
20
120
62
012
08
20
121
02
012
12
20
130
22
013
04
20
130
62
013
08
20
131
02
013
12
20
140
22
014
04
20
140
62
014
08
20
141
02
014
12
20
150
22
015
04
20
150
62
015
08
20
151
02
015
12
20
160
22
016
04
20
160
62
016
08
20
161
02
016
12
20
170
22
017
04
20
170
62
017
08
20
171
02
017
12
20
180
22
018
04
Mo
nth
ly V
olu
me
Floor spread Floor trade GLOBEX spread GLOBEX trade
© 2018 CME Group. All rights reserved.
Dairy Option Volume By Venue
0.00
10,000.00
20,000.00
30,000.00
40,000.00
50,000.00
60,000.00
70,000.00
80,000.00
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%2
012
02
20
120
4
20
120
6
20
120
8
20
121
0
20
121
2
20
130
2
20
130
4
20
130
6
20
130
8
20
131
0
20
131
2
20
140
2
20
140
4
20
140
6
20
140
8
20
141
0
20
141
2
20
150
2
20
150
4
20
150
6
20
150
8
20
151
0
20
151
2
20
160
2
20
160
4
20
160
6
20
160
8
20
161
0
20
161
2
20
170
2
20
170
4
20
170
6
20
170
8
20
171
0
20
171
2
20
180
2
Mo
nth
ly V
olu
me
% G
lob
ex
Month
Floor spread Floor trade GLOBEX spread GLOBEX trade % Globex
CME GROUP INTERNAL © 2018 CME Group. All rights reserved.
Steven A Stasys
Director, Agricultural Options
312-648-3822
Contact Info
CME GROUP INTERNAL © 2018 CME Group. All rights reserved.
Disclaimer
14
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
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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 © 2018 CME Group. All rights reserved.
