June Options Review

  • 9 Jul 2019
  • By CME Group

Reviews by Asset Class

Interest Rates | Equity Index | Energy | Agricultural | FX | Metals

Overview

Asset Class ADV % YoY % Globex Month-End OI OI % YoY
Total Options 5,727,509 63% 57% 88,923,753 45%
Interest Rates 4,269,398 98% 47% 73,034,004 65%
Equity Index 611,942 5% 94% 3,853,530 -13%
Agricultural 392,271 0% 85% 3,776,057 3%
Energy 274,226 4% 72% 5,927,893 -11%
Metals 128,198 117% 80% 1,768,147 26%
FX 51,474 -29% 98% 564,122 -28%

Trends & Highlights

  • Options ADV exceeded 5M for the second consecutive month, with over 5.7M contracts/day in June, the second highest monthly ADV ever
  • Open interest surged to a record high of 98M contracts on June 13, closing the month at a record 89M contracts, +45% YoY – a 54th consecutive month of YoY growth
  • Record ADV in Interest Rate options
  • Record ADV in Metals options
  • Record ADV in Weekly Ag options

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Interest Rate Options

  Symbol ADV % YoY % Globex Month-End OI OI % Puts
Eurodollar options   3,178,928 159% 35% 65,053,027 52%
Eurodollars (Quarterly/Serial) GE 2,268,109 290% 33% 46,672,978 52%
1-Year Mid-Curve GE0 648,396 81% 40% 10,173,313 51%
2-Year Mid-Curve GE2 182,575 -16% 41% 5,073,967 53%
3-Year Mid-Curve GE3 76,493 21% 44% 2,950,313 46%
4-Year Mid-Curve GE4 2,236 -58% 58% 167,856 55%
10-Year Note   652,964 4% 80% 4,168,470 60%
Quarterly/Serial OZN 497,129 -1% 81% 3,689,338 59%
Friday Weekly ZN1-5 138,439 31% 79% 417,492 71%
Wednesday Weekly WY1-5 17,395 -5% 88% 61,640 72%
5-Year Note   275,870 54% 76% 2,442,704 70%
Quarterly/Serial OZF 221,992 48% 74% 2,147,508 70%
Friday Weekly ZF1-5 45,453 74% 83% 254,175 65%
Wednesday Weekly WF1-5 8,894 149% 93% 41,336 87%
T-Bond   130,062 39% 92% 859,877 62%
Quarterly/Serial OZB 98,731 39% 92% 753,882 60%
Friday Weekly ZB1-5 27,026 45% 91% 92,460 72%
Wednesday Weekly WB1-5 4,305 15% 94% 13,535 95%
2-Year Note   30,453 9% 70% 459,752 81%
Quarterly/Serial OZT 29,921 13% 70% 459,437 81%
Friday Weekly ZT1-5 62 -92% 24% 0 N/A
Ultra T-Bond OUB 1,006 605% 7% 43,511 97%
Ultra 10-Year Note OTN 132 N/A 0% 6,961 19%

Trends & Highlights

  • Interest rates options averaged an all-time record 4.2M contracts/day in June, +98% YoY
  • Record open interest of 79M contracts on Jun 13
  • Single-day volume record of 8.1M contracts on June 3
  • Record Eurodollar options ADV of 3.1M, +159% YoY, including record electronic ADV of over 1.1M
  • 5-Year note options continue to outperform within the Treasury option complex, averaging 276K contracts/day, the second highest on record behind May 2019

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Equity Index Options

  Symbol ADV % YoY Month-End OI OI % Puts
E-mini S&P 500 options   564,057 6% 3,548,727 73%
Quarterlies ES 178,603 37% 1,771,106 78%
Monday Weekly E1A-E5A 48,539 19% 167,623 77%
Wednesday Weekly E1C-E5C 52,988 10% 35,122 62%
Friday Weekly EW1-EW4 192,754 -4% 1,080,843 62%
End-of-Month EW 91,172 -18% 494,033 76%
S&P 500 options   35,065 -9% 223,356 55%
Quarterlies SP 6,402 -11% 25,859 38%
Monday Weekly S1A-S5A 5,243 24% 35,696 81%
Wednesday Weekly S1C-S5C 3,320 -30% 2,185 77%
Friday Weekly EV1-EV4 12,742 -1% 126,699 48%
End-of-Month EV 7,357 -23% 32,917 66%
E-mini Nasdaq-100 options   10,328 19% 56,726 55%
Quarterlies NQ 4,609 48% 21,681 55%
Weekly QN1-QN4 4,253 -1% 31,749 54%
End-of-Month QNE 1,467 15% 3,296 67%
E-mini Russell 2000 options RTO 2,342 9% 22,359 72%
E-mini Dow ($5) options YM 149 -66% 2,355 42%

Trends & Highlights

  • E-mini Nasdaq-100 options volume increased 19% YoY
  • E-mini Russell 2000 options volume +9% YoY
  • Strong trading in Monday-expiring S&P 500 options

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Energy Options

  Symbol Settlement ADV % YoY % Globex Month-End OI OI % Puts
Crude Oil options     186,041 -6% 81% 3,966,846 48%
WTI Crude Oil LO Physical 164,489 3% 88% 2,404,664 45%
WTI 1 Month CSO WA Physical 4,588 -69% 11% 564,481 56%
WTI 1 Month CSO 7A Financial 2,778 -36% 0% 163,460 61%
Brent Futures-Style BZO Financial 5,030 -30% 59% 192,632 27%
WTI Weeklies LO1-5 Physical 2,932 9% 99% 5,081 53%
WTI Average Price AAO Financial 2,383 63% 0% 381,202 57%
Brent European BE Financial 1,426 -9% 0% 64,775 61%
WTI-Brent Spread BV Financial 1,733 -42% 4% 113,735 49%
Natural Gas options     84,552 34% 56% 1,841,609 45%
Natural Gas European LN Financial 75,123 43% 55% 1,666,847 45%
Natural Gas American ON Physical 6,213 -21% 99% 68,145 49%
Natural Gas 3 Month CSO G3 Financial 1,933 645% 0% 39,050 49%
Natural Gas 1 Month CSO G4 Financial 665 -5% 0% 28,000 59%
Refined Product options     2,974 43% 16% 90,330 28%
NY Harbor ULSD OH Physical 1,912 48% 14% 53,374 25%
RBOB Gasoline OB Physical 868 27% 25% 18,555 39%

Trends & Highlights

  • 72% of energy options traded electronically, led by the benchmark WTI Crude contract (LO) at 88%
  • Nat Gas options volume +34% YoY, with 56% traded electronically
  • NY Harbor ULSD options volume +48% YoY, open interest +35%

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Agricultural Options

  Symbol ADV % YoY % Globex Month-End OI OI % Puts
Corn OZC 214,552 21% 84% 1,618,385 39%
Soybean OZS 64,994 -39% 89% 512,010 46%
SRW Wheat OZW 36,735 -8% 84% 350,801 44%
Lean Hogs HE 19,128 66% 96% 420,194 47%
Short-Dated New Crop OCD, OSD 11,051 -16% 83% 160,800 41%
Weekly Corn ZC1-5 10,067 239% 70% 21,520 51%
Soybean Meal OZM 8,445 -52% 84% 105,962 47%
Live Cattle LE 8,010 -8% 90% 186,025 51%
KC HRW Wheat OKE 5,592 62% 74% 62,763 36%
Soybean Oil OZL 4,923 -8% 85% 61,588 40%
Weekly Soybeans ZS1-5 2,032 73% 71% 8,624 36%
Feeder Cattle GF 1,833 136% 91% 38,234 51%
Class III Milk DC 1,714 -20% 89% 74,815 51%
Weekly Wheat ZW1-5 878 238% 99% 4,835 49%

Trends & Highlights

  • Weekly Ag options averaged a record 13K contracts/day, +195% YoY
  • Weeklies hit record open interest on June 27 (66K) going into the USDA Planting Intention number resulting in a record volume day June 28 (40,211)
  • 2nd highest ADV in June for Corn options
  • KC Wheat hit a record open interest on June 20 of 109K contracts
  • Soybean implied volatility decreasing, call skew increasing through the month of June
  • Record open interest in Lean Hog options (467K) on June 17th

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FX Options

  Symbol ADV % YoY % Globex Month-End OI OI % Puts
EUR/USD EUU 27,291 -24% 98% 238,260 47%
JPY/USD JPU 10,269 -3% 98% 120,917 46%
CAD/USD CAU 5,026 -43% 98% 55,217 54%
GBP/USD GPU 4,319 -61% 95% 85,690 44%
AUD/USD ADU 4,211 -32% 100% 57,882 49%
CHF/USD CHU 228 -12% 100% 4,268 54%
MXN/USD 6M 124 -12% 84% 1,602 41%

Trends & Highlights

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Metals Options

  Symbol ADV % YoY % Globex Month-End OI OI % Puts
Gold OG 105,121 130% 78% 1,488,083 31%
Gold Weeklies OG1-5 9,751 383% 94% 44,640 41%
Silver SO 9,324 2% 89% 180,743 35%
Copper HX 3,335 111% 82% 38,504 33%
Silver Weeklies SO1-5 340 112% 92% 2,146 28%
Platinum PO 236 -15% 15% 9,144 35%
Palladium PAO 86 -31% 70% 2,442 64%

Trends & Highlights

  • June was an all-time record month for volume in Metals options
  • Gold options averaged a record 105K contracts/day, +130% YoY
  • Weekly Gold options (OG1-5) averaged a record 9.7K contracts/day, +383% YoY – a 40th consecutive month of YoY growth
  • Copper options averaged 3.3K contracts/day, +111% YoY

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Open Interest as of 6/28/19, unless otherwise specified

YoY – Compares current period 2019 to same period 2018, MoM – Compares current month 2019 to previous month 2019

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