| Option Product | March ADV | Year/Year % Change |
|---|---|---|
| Corn | 91,744 | -35% |
| Soybean | 66,424 | -2% |
| Chicago SRW Wheat | 30,652 | -10% |
| Soybean Meal | 19,528 | 87% |
| Live Cattle | 15,878 | 56% |
| Hogs | 15,076 | 33% |
| Soybean Oil | 12,937 | 13% |
| SHORT-DATED NEW CROP OPTIONs | 11,890 | 27% |
| Ag weekly options | 11,575 | 151% |
| FEEDER CATTLE | 3,685 | 112% |
| KC HRW WHEAT | 3,389 | 30% |
| Calendar Spread Options | 3,005 | -15% |
Source: CME Group
Short Term Options ADV
| Weekly Options | Short-Dated New Crop Options | New Crop Weekly Options | ||
|---|---|---|---|---|
| MAR ADV | Mar ADV | Mar ADV | ||
| Corn | 5,546 | 7,661 | 271 | |
| Soybean | 3,484 | 4,228 | 101 | |
| Chicago SRW Wheat | 1,893 | |||
| Soybean Meal | 562 | |||
| Soybean Oil | 89 | |||
Source: CME Group
Ag risk management is evolving with market participants utilizing short-term options and calendar spread options (CSO) to better refine or isolate risk. March 2023 saw over 26K contracts trade per day as a short-term option or CSO, a 50% increase vs. last March.
Evolution of Ag options trading
Market participants can monitor volatility levels after a large event such as the USDA Prospective Planting report. Real-time Corn CVOL (CVOL) helps show the reaction intraday to help traders adjust and manage risk.
CVOL real time
Below is a chart of the volatility term structure on March 20th for Corn. The green line is old crop and the orange line is new crop (December). You can see old crop volatility priced higher going out to mid-July.
Corn volatility term structure
The chart below is the volatility term structure for Corn after Prospective Planting. The green line is old crop and the purple line is new crop (December). The market has switched and now pricing in higher volatility in the December contract going into the summer months vs. old crop.
With supply thinning and higher input costs, market participants are utilizing Feeder Cattle options at a record pace.
Feeder Cattle Options
Read original article: https://cattlemensharrison.com/march-2023-agricultural-options-review/
By: CME Group