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© 2017 CME Group. All rights reserved.
Agricultural Options UpdateMarch 2017
© 2017 CME Group. All rights reserved.
Highlights
• Class III options +100% YoY, March ADV 2,018, record OI at 100K
• Weekly option ADV + 74% - Traded 17K on March 31st around Planting Intentions
• August and Sept SDNC Calls starting to ramp up OI going into growing season
Ag Product Suite
2
Option Product March ADVADV % Change YoY
MTD
Corn 85,077 13.5%
Soybean 66,230 -19.2%
Chicago SRW Wheat 27,177 -15.8%
Live Cattle 13,465 -31.9%
Soybean Oil 10,163 -17.2%
Soybean Meal 9,078 19.8%
Hogs 8,665 48.6%
Short-Dated New Crop Option 3,658 -33.3%
Ag Weekly Option 3,417 74.1%
Class III Milk 2,018 100.7%
© 2017 CME Group. All rights reserved.
July Corn 25 Delta Call/Put Skew – Historically High
3
-2.00%
-1.00%
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%
7.00%
Vola
tilit
y
Days Till Expiration
25 Delta Risk Reversal (C-P)
2012 2013 2014 2015 2016 2017
© 2017 CME Group. All rights reserved.
Lean Hog - June “At-The-Money” Volatility
4
10.00%
15.00%
20.00%
25.00%
30.00%
120
118
116
114
112
110
108
106
104
102
100
98
96
94
92
90
88
86
84
82
80
78
76
74
72
70
68
66
64
62
60
58
56
54
52
50
Vola
tilit
y
Days Till Expiration
At-The-Money June Implied Volatility
2012 2013 2014 2015 2016 2017
© 2017 CME Group. All rights reserved.
Class III Milk Open Interest
5
© 2017 CME Group. All rights reserved.
Short Dated New Crop Corn Open InterestElevated call OI compared to puts
6
© 2017 CME Group. All rights reserved.
Volume – Time Series
7
© 2017 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
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
Mo
nth
ly V
olu
me
Floor spread Floor trade GLOBEX spread GLOBEX trade
© 2017 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
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
Mo
nth
ly V
olu
me
Floor spread Floor trade GLOBEX spread GLOBEX trade
© 2017 CME Group. All rights reserved.
Dairy Option Volume By Venue
0
10,000
20,000
30,000
40,000
50,000
60,000
70,000
80,000
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
Mo
nth
ly V
olu
me
Floor spread Floor trade GLOBEX spread GLOBEX trade
© 2017 CME Group. All rights reserved.
Weekly Option volume
© 2017 CME Group. All rights reserved.
Steven A Stasys
Director, Agricultural Options
312-648-3822
Contact Info
© 2017 CME Group. All rights reserved.
Disclaimer
13
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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.
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Copyright © 2017 CME Group. All rights reserved.
