October Options Review

• October ADV of 3.7M, although down 15% YoY, was in line with seasonal expectations​ as October is a seasonally low ADV month - usually in the bottom 25% for monthly ADV for any given year. An outlier of course being Oct 2018 which saw strong volumes as equity markets plunged due to rising trade tensions and Federal Reserve rate hikes
• NEW Volatility SmartBrief: CME Group, in partnership with SmartBrief, has launched a new weekly newsletter focused on options markets and volatility – sign up here to join

• Options open interest grew 9% YoY to 79M contracts – the 46^th consecutive month of YoY growth
• Ag options ADV grew 14% YoY
• Metals options ADV of 70K was the 9^th highest monthly ADV on record

Back to Top

• The Federal Reserve delivered its third rate cut as part of what is described as a "mid-cycle adjustment". Open Interest increased 16% in interest rate options, signaling participation remains strong despite lower volatility compared to Oct-2018.

• The short-end of the Treasury curve continues to outperform within the Treasury option complex, with volumes in 2-Year and 5-Year note options up 70% and 66% respectively
• Wednesday weekly Treasury options saw a record volume day of 145K contracts on Friday, Oct. 11
• Fed Fund options have seen an uptick in activity with streaming quotes currently available on screen
• SOFR options coming January 6, 2020, pending regulatory review

Back to Top

• The S&P closed at a record high on October 30 after the Federal Reserve announced another cut in interest rates, signaling that the economy would not require further cuts in the near future.

• E-mini Russell 2000 options ADV +16% YoY, OI +13%
• Monday and Wednesday weekly options accounted for 20% of total S&P 500 options (standard and E-mini) volume
• Bitcoin options coming Q1 2020, pending regulatory review

Back to Top

• Energy volumes eased as the crude oil market stabilized following September's attack on Saudi Aramco's facilities. The market fell to the lower end of the recent trading range. Heating Oil futures saw strong volumes as seasonal restocking and concerns about tight winter supplies of low-sulfur diesel have continued to worry traders.

• Despite subdued volumes, open interest in Crude Oil options climbed to 3.46M lots, +47% YoY
• Natural Gas calendar spread options remain active, with 1-Month CSO ADV +170%, and 6-Month CSO ADV +184% YoY
• Heating oil average price options showed some life with ADV +113% YoY
• Chicago Ethanol (Platts) Average Price options volume +155%, OI +121%

Back to Top

• African swine fever continues to spread through Asia, with outbreaks in Europe and Africa too. China is the world's top producer and consumer of pork and in October, the Chinese Ministry of Agriculture reported China's hog herd was down 41% YoY, which is more than twice the entire US herd.
• Live hog prices in China soared to $7.07/kg ($3.21/lb) in October and continue to rise while US live hog prices are $0.60-$0.70/lb. Total global protein production is declining as a result of ASF and global meat exports are expected to increase 7% YoY in 2019 and another 6% in 2020.

• Hogs volume +25% YoY, OI +58%
• Live cattle volume +35% YoY, OI +4%
• Corn volume +50% YoY, OI +5%
• The consecutive corn CSO’s show strong activity with the Dec-March spread tightening throughout October
• Weekly Ag options continue to outperform on a YoY basis

Back to Top

• Although U.K. lawmakers endorsed Prime Minister Boris Johnson's Brexit deal, Parliament voted against the proposal to push it through by the end of the month, which kept FX options volatility subdued.

• JPY/USD open interest +12% YoY
• CHF/USD ADV +128% YoY, OI +45%

Back to Top

• While slower than previous months, October was another strong month for metals options. Continued geopolitical and economic uncertainty coupled with an increasingly accommodative fed drove interest in precious metals during the period. Option volume was strong in precious metals while also seeing solid activity in Copper options (HX), despite continued low volatility in the copper market.

• Gold options volume +34% YoY, OI +25%. Open interest in underlying Gold futures hit a record high of 691K as of the writing of this report on Nov 5
• Weekly Gold options (OG1-5) registered their a 44th consecutive month of YoY growth
• Copper options volume +108% YoY

Back to Top

Open Interest as of 10/31/19, unless otherwise specified
YoY – Compares current period 2019 to same period 2018, MoM – Compares current month 2019 to previous month 2019

Futures and options 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.

CME Group is a trademark of CME Group Inc. The Globe logo, CME, E-mini and Globex are trademarks of Chicago Mercantile Exchange Inc. CBOT is a trademark of the Board of Trade of the City of Chicago, Inc. NYMEX and ClearPort are trademarks of New York Mercantile Exchange, Inc. COMEX is a trademark of Commodity Exchange, Inc. S&P® 500 and S&P MidCap 400™ are trademarks of The McGraw-Hill Companies, Inc., and have been licensed for use by Chicago Mercantile Exchange Inc. NASDAQ-100 is a trademark of The Nasdaq Stock Market, used under license. Dow Jones is a trademark of Dow Jones & Company, Inc. and used here under license. Russell 2000® is a trademark and service mark of the Frank Russell Company, used under license. All other trademarks are the property of their respective owners.

The information within this document has been compiled by CME Group for general purposes only and has not taken into account the specific situations of any recipients of the information. CME Group assumes no responsibility for any errors or omissions. The information in this brochure should not be considered investment advice. All matters pertaining to rules and specifications herein are made subject to and are superseded by official CME, CBOT and NYMEX rules. Current CME/CBOT/NYMEX rules should be consulted in all cases before taking any action.

Copyright © 2019 CME Group Inc. All rights reserved