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:

Published on June . Source: CME Group.