Article on Signals from Ag Options and Futures
- Rebound in global economy, inclement weather rally corn, soy, and wheat.
- Implied volatility in corn is at the highest since the 2008-2012 period.
- High volatility in corn, wheat expected to moderate in late 2021.
- Traders expect wide range in prices: from record highs to the lows set in 2000.
CME Agricultural Options Statistics
- SDNC Options hit over 300K OI, highest mark since 2015 given heighten volatility
- Corn December futures have over 1M contracts tied to the underlying, 24% of which are from SDNC contracts
- Corn option open interest reaches 2.3M contracts, highest level since 2010
- Short-term options make up more than 20% of corn option volume in June
- Corn CVOL hits an all-time high of 54%, 30-day constant maturity implied vol levels not seen since 2012
- Soybean Oil Implied volatility trading over 40%, first time since 2008
With Corn option implied volatility reaching over 50%, check out CME Group’s analytical tools to help navigate these unprecedented times:
- CVOL Indexes– Track volatility and skew over time to help but context around current market conditions
- Volatility Term Structure– Look across all option maturities to better understand where risk is priced in
- Vol2Vol– See implied volatility in terms of a standard deviation move in ticks overlaid with open interest
- Strategy Simulator– Build out option strategies and visual risk/reward to help better define risk
Grain & Oilseed Expirations & Key Events in July
- June 30th – USDA Stocks Report
- July 2nd – Week 1 option expire based on September future
- July 9th – Week 2 option expire based on September future
- July 12th– USDA WASDE Release
- July 16th – Week 3 option expire based on Sept future
- July 23rd – August Options expire based on Sept future/ Aug SDNC option expire based on Dec future for Corn/ Nov future for Soybeans
- July 30th – Week 5 option expire based on Sept future
With Corn option implied volatility reaching over 50%, check out CME Group’s analytical tools to help navigate these unprecedented times:
- CVOL Indexes– Track volatility and skew over time to help but context around current market conditions
- Volatility Term Structure– Look across all option maturities to better understand where risk is priced in
- Vol2Vol– See implied volatility in terms of a standard deviation move in ticks overlaid with open interest
- Strategy Simulator– Build out option strategies and visual risk/reward to help better define risk
Market participants are increasingly utilizing weekly and short dated options given the current high volatility environment.
Learn more here:
Agricultural Options Expiration Calendar for easy reference.
