CME Group Internal PowerPoint Template · CME GROUP INTERNAL © 2018 CME Group. All rights...
13
CME GROUP INTERNAL © 2018 CME Group. All rights reserved. Agricultural Options March 2018
Transcript of CME Group Internal PowerPoint Template · CME GROUP INTERNAL © 2018 CME Group. All rights...
CME GROUP INTERNAL © 2018 CME Group. All rights reserved.
Agricultural Options
March 2018
CME GROUP INTERNAL © 2018 CME Group. All rights reserved.
Highlights
• Implied volatility showing large ranges during the first quarter
• KC Wheat CSO’s have a record volume month
• Uptick in volatility boosting activity in Weekly and Short Dated options. Second best volume month for
weeklies.
Ag Option Product Suite
2
Option Product Mar ADV Year/Year % Change
Soybean 86,700 25%
Corn 120,906 35%
Chicago SRW Wheat 40,101 46%
Soybean Meal 16,927 85%
Live Cattle 15,752 17%
Hogs 10,642 23%
Soybean Oil 6,775 -33%
Ag Weekly Option 5,609 64%
KC HRW Wheat 5,760 245%
Short-Dated New Crop Option 5,650 54%
© 2018 CME Group. All rights reserved. 3
30 Day Constant Implied Volatility Over Q1
15%
20%
25%
30%
35%
40%
Vo
lati
lity
Date
HRW Wheat Soybean Meal Lean Hogs
© 2018 CME Group. All rights reserved. 4
New Crop/Old Crop Corn Volatility Spread Using July
Short Dated vs. July Standard Volatility
© 2018 CME Group. All rights reserved.
Weekly Option Volume In March
5
-
2,000
4,000
6,000
8,000
10,000
12,000
14,000
16,000
18,000
20,000
Vo
lum
e
Date
Chicago SRW Wheat Corn Soybean Soybean Meal
© 2018 CME Group. All rights reserved.
Volume – Time Series
6
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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
2
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
Floor spread Floor trade GLOBEX spread GLOBEX trade
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Weekly Option Volume
8
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Calendar Spread Option Volume
9
© 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
2
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
13
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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Commodity Exchange, Inc. KCBOT, KCBT and Kansas City Board of Trade are trademarks of The Board of Trade of Kansas City, Missouri, Inc.
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.
