- 18 Nov 2022
- By CME Group
Monitor risk expectations in real-time on 27 futures products and six aggregate markets with the CME Group Volatility Index (CVOL™), a robust measure of 30-day implied volatility derived from the world's most actively traded options on futures.
How to access:
- Real-time accessibility is available through CME Group Market Data via Google Cloud Platform and CME Direct
- A 15-minute delayed version of the Live Streaming CVOL is available via the CVOL homepage
Use Case: Soybean CVOL Reacts to WASDE
On October 12, the U.S. Department of Agriculture released the World Agricultural Supply and Demand report (WASDE) at 12:00 p.m. EST. The report for Soybean yield missed to the downside resulting in Soybean futures rising 16 cents. Using Soybean CVOL (SVL), market participants can see how the price reacted to the upside and volatility decreased following the report. Live streaming CVOL gives market participants the ability to instantly see implied volatility reactions enabling intra-day option trading based on market conditions.
Source: CME Group
Class III Milk options continue to pile on open interest (OI) with September setting an all-time high average open interest of 106K contracts. The dairy complex, specifically Class III Milk, continues to increase open interest since 2008. The dairy complex has one of the highest uses of options to manage price risk.
Source: CME Group
Weekly options set a Q3 ADV record with over 8K contracts trading per day. Soybean meal and SRW wheat helped set the record as market participants expanded use within the Ag complex outside of corn.
Short-Dated Crop options continues to see record-high adjusted daily volume (ADV) and OI as participants turn to low premiums and flexible risk management.
Source: CME Group
Q3 was the fourth best quarter for adjusted daily volume (ADV) for Palm Oil products and the second best quarter for open interest (OI).
Both Q1 and Q2 ranked as the top four quarters on record, making 2022 one of the most active periods in the history of CME Palm Oil products, as the marketplace capitalizes on tools for efficient risk management.
Source: CME Group
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Rich Excell brings more than 30 years of experience with a new series focused on commodity options.
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