Agricultural Options

November 2017

© 2017 CME Group. All rights reserved.

Ag Option Product Suite
Highlights
• Hog option volume spikes off of price movement during November
• Implied volatility levels continue to be suppressed in grains hitting new 7 year lows for new crop Corn,
Soybeans & Wheat markets at this time of year
• Open interest records for Butter, Cheese & Nonfat, record volume day in Class III

November ADV % Change YoY

Option Product
ADV MTD
Corn 76,169 22%
Soybean 56,033 -5%
Chicago SRW Wheat 23,108 -14%
Soybean Oil 9,267 -4%
Live Cattle 11,715 -5%
Hogs 10,371 41%
Soybean Meal 8,170 14%
Class III Milk 2,000 30%
KC HRW Wheat 1,300 42%
Feeder Cattle 1,349 -9%

© 2017 CME Group. All rights reserved. 2

December Corn Implied Volatility - 7 Year Historical Range

45.00%

40.00%

35.00%

Implied Vol
30.00%

25.00%

20.00%

15.00%
326 329 330 331 332 333 336 337 338 339 340 343 344 345 346 347 350 351 352 353 354 357 358 359 360
Days Till Experation

Min Max 7 Year Average Dec 18

© 2017 CME Group. All rights reserved. 3

December Wheat Implied Volatility - 7 Year Historical
Range
45.00%

40.00%

35.00%

Implied Vol
30.00%

25.00%

20.00%

15.00%
326 329 330 331 332 333 336 337 338 339 340 343 344 345 346 347 350 351 352 353 354 357 358 359 360
Days Till Experation

Min Max 7 Year Average Dec 18

© 2017 CME Group. All rights reserved. 4

 0
5,000
10,000
15,000
20,000
25,000
30,000
35,000
40,000
50,000
45,000

0
2,000
4,000
6,000
8,000
10,000
12,000
20150102 20150102
20150123 20150122
20150212 20150210
20150305 20150302
20150325 20150319
20150414 20150407
20150504 20150424
20150513
20150522
20150602
20150612
20150619
20150702
20150709
20150723
20150728
20150812
20150814
20150901 20150902
20150922 20150922
20151012 20151009
20151030 20151028
20151119 20151116
20151210 20151204
20151231 20151223
20160122 20160113
20160211 20160202
20160303 20160222
20160323 20160310
20160413 20160330
20160503 20160418
Dairy Open Interest Records

20160523 20160505
20160613 20160524
20160701 20160613
20160722 20160630
20160811 20160720
20160831 20160808
20160921 20160825
20161011 20160914
20161031 20161003
CS Butter Options Open Interest

20161118 20161020
20161108
CS Cheese Options Open Interest

20161209
20161128
20161230
20161215
20170123
20170105
20170210
20170125
20170303
20170213
20170323 20170303
20170412 20170322
20170503 20170410
20170523 20170428
20170613 20170517
20170703 20170606
20170724 20170623
20170811 20170713
20170831 20170801
20170921 20170818
20171011 20170907
20171031 20170926
© 2017 CME Group. All rights reserved.

20171120 20171013
20171101
5

20171120
Volume – Time Series

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 Monthly Volume

1,000,000
2,000,000
3,000,000
5,000,000
6,000,000
7,000,000
8,000,000
9,000,000

4,000,000

0
201202
201204
201206
201208
201210
201212
201302
201304
201306

Floor spread
201308
201310
201312
201402

Floor trade
201404
201406
201408
201410
201412
201502

GLOBEX spread
201504
201506
201508
201510
201512
201602
GLOBEX trade
Grain/Oilseed Option Volume By Venue

201604
201606
201608
201610
201612
201702
201704
201706
201708
201710
© 2017 CME Group. All rights reserved.
 Monthly Volume

100,000
200,000
300,000
400,000
500,000
600,000
700,000
800,000

0
900,000

201202
201204
201206
201208
201210
201212
201302
201304
201306
201308

Floor spread
201310
201312
201402
201404

Floor trade
201406
201408
201410
201412
201502
201504

GLOBEX spread
Livestock Option Volume By Venue

201506
201508
201510
201512
201602
GLOBEX trade

201604
201606
201608
201610
201612
201702
201704
201706
201708
201710
© 2017 CME Group. All rights reserved.
 % Globex

0%
10%
20%
30%
40%
50%
60%
70%
201202 80%
201204
201206
201208
201210
201212
201302
201304

Floor spread
201306
201308
201310
201312
201402
201404

Floor trade
201406
201408
201410
201412

Month
201502
Dairy Option Volume By Venue

201504

GLOBEX spread
201506
201508
201510
201512
201602
201604
201606
GLOBEX trade

201608
201610
201612
201702
201704
% Globex

201706
201708
201710
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

© 2017 CME Group. All rights reserved.

Monthly Volume
Contact Info

Steven A Stasys
Director, Agricultural Options

steven.stasys@cmegroup.com
312-648-3822

© 2017 CME Group. All rights reserved.

Disclaimer

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.

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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 © 2017 CME Group. All rights reserved.

© 2017 CME Group. All rights reserved. 11