- 11 Dec 2019
- By CME Group
Reviews by Asset Class
Interest Rates | Equity Index | Energy | Agricultural | FX | Metals
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- Options open interest grew 7% YoY to 78M contracts – the 47th consecutive month of YoY growth
- Metals options ADV +21% YoY
| Asset Class | ADV | % YoY | % Globex | Month-End OI | OI % YoY |
| Total Options | 3,328,333 | -23% | 67% | 78,092,373 | 7% |
| Interest Rates | 2,252,746 | -16% | 57% | 64,164,642 | 15% |
| Equity Index | 543,003 | -32% | 94% | 4,233,410 | -24% |
| Energy | 241,378 | -51% | 68% | 5,141,003 | -27% |
| Agricultural | 186,575 | -10% | 86% | 2,509,288 | -2% |
| Metals | 66,807 | 21% | 85% | 1,425,716 | 8% |
| FX | 37,824 | -47% | 99% | 618,314 | -20% |
- With the Fed presumably on hold for the foreseeable future following their third 25 basis point cut of 2019 on October 30, interest rates remained range bound in November.
- Despite subdued volatility, Rate options remained active with ADV of 2.25M while open interest climbed 19% YoY
- Quarterly/Serial Eurodollars ADV +46% YoY, OI +44%
- 2-Year note options ADV +98% YoY, OI +72%
- SOFR options coming January 6, 2020, pending regulatory review
| Symbol | ADV | % YoY | % Globex | Month-End OI | OI % YoY | |
| Eurodollar options | 1,140,007 | -12% | 38% | 58,386,105 | 19% | |
| Eurodollars (Quarterly/Serial) | GE | 743,799 | 46% | 39% | 44,882,711 | 44% |
| 1-Year Mid-Curve | GE0 | 271,163 | -42% | 29% | 8,008,699 | -21% |
| 2-Year Mid-Curve | GE2 | 80,384 | -63% | 52% | 3,598,356 | -28% |
| 3-Year Mid-Curve | GE3 | 43,338 | -50% | 61% | 1,812,992 | -33% |
| 4-Year Mid-Curve | GE4 | 1,142 | -51% | 12% | 83,347 | -51% |
| 10-Year Note | 693,288 | -27% | 79% | 2,965,844 | -21% | |
| Quarterly/Serial | OZN | 548,347 | -20% | 78% | 2,673,357 | -10% |
| Friday Weekly | ZN1-5 | 125,862 | -46% | 82% | 273,936 | -63% |
| Wednesday Weekly | WY1-5 | 19,079 | -33% | 86% | 18,551 | -67% |
| 5-Year Note | 223,186 | -10% | 69% | 1,647,426 | -16% | |
| Quarterly/Serial | OZF | 193,377 | -7% | 65% | 1,621,914 | -7% |
| Friday Weekly | ZF1-5 | 25,133 | -27% | 89% | 23,497 | -89% |
| Wednesday Weekly | WF1-5 | 4,677 | -14% | 96% | 2,015 | -86% |
| T-Bond | 166,920 | -5% | 81% | 886,787 | 5% | |
| Quarterly/Serial | OZB | 138,154 | -5% | 80% | 834,555 | 10% |
| Friday Weekly | ZB1-5 | 24,449 | -7% | 91% | 48,491 | -43% |
| Wednesday Weekly | WB1-5 | 4,317 | -6% | 88% | 3,741 | -41% |
| 2-Year Note | OZT | 27,043 | 98% | 66% | 234,255 | 72% |
| Ultra T-Bond | OUB | 1,913 | 52% | 1% | 25,263 | 9% |
| Ultra 10-Year Note | OTN | 340 | 11790% | 0% | 6,806 | 11243% |
| Fed Funds | OZQ | 48 | 100% | 79% | 12,156 | 1243% |
- U.S. stocks closed out November with their largest monthly gains since June; The Dow Jones Industrial Average, S&P 500 and the Nasdaq Composite each rose more than 3% for the month. The indexes notched a series of records in recent sessions while industry wide volatility in November was near its lowest levels of the year.
- E-mini Russell 2000 options ADV +17% YoY, OI +17%
- 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
| Symbol | ADV | % YoY | Month-End OI | OI % YoY | |
| E-mini S&P 500 options | 502,941 | -32% | 3,887,496 | -23% | |
| Quarterlies | ES | 146,427 | -19% | 2,434,445 | -3% |
| Monday Weekly | E1A-E5A | 45,374 | -28% | 105,813 | -13% |
| Wednesday Weekly | E1C-E5C | 53,054 | -25% | 56,436 | 68% |
| Friday Weekly | EW1-EW4 | 183,510 | -42% | 733,301 | -22% |
| End-of-Month | EW | 74,576 | -33% | 557,501 | -62% |
| S&P 500 options | 31,241 | -28% | 237,374 | ||
| Quarterlies | SP | 3,522 | 17% | 100,089 | -5% |
| Monday Weekly | S1A-S5A | 3,239 | -66% | 13,925 | -66% |
| Wednesday Weekly | S1C-S5C | 4,072 | -40% | 10,600 | 1561% |
| Friday Weekly | EV1-EV4 | 14,416 | -12% | 89,899 | 41% |
| End-of-Month | EV | 5,992 | -20% | 22,861 | -85% |
| E-mini NASDAQ-100 options | 5,972 | -50% | 66,775 | -32% | |
| Quarterlies | NQ | 1,635 | -73% | 50,280 | -22% |
| Weekly | QN1-QN4 | 3,362 | -20% | 12,352 | 31% |
| End-of-Month | QNE | 976 | -43% | 4,143 | -83% |
| E-mini Russell 2000 options | 2,744 | 17% | 38,874 | 17% | |
| Quarterlies | RTO | 1,217 | 130% | 38,874 | 17% |
| Weekly | R1E-R4E | 1,132 | -14% | 8,835 | 25% |
| End-of-Month | RTM | 396 | -21% | 3,342 | -66% |
- Natural gas prices have been under pressure due to strong supply. Stockpiles of Natural Gas accumulated ahead of last winter, when frigid temperatures were expected but never materialized. Spring came with more natural gas still in storage than expected, and this year's record production levels further increased stockpiles.
- Natural Gas calendar spread options remain active, with 1-Month CSO ADV +37%, and 6-Month CSO ADV +270% YoY
- WTI average price options ADV +108% YoY
| Symbol | Settlement | ADV | % YoY | % Globex | Month-End OI | OI % YoY | |
| Crude Oil options | 119,383 | -63% | 75% | 2,843,976 | -36% | ||
| WTI Crude Oil | LO | Physical | 96,349 | -65% | 86% | 1,682,390 | -44% |
| WTI 1 Month CSO | WA | Physical | 5,458 | -44% | 3% | 368,625 | -9% |
| WTI Average Price | AAO | Financial | 5,267 | 108% | 0% | 377,796 | 1% |
| Brent Futures-Style | BZO | Financial | 3,908 | -55% | 75% | 72,491 | -65% |
| WTI Weeklies | LO1-5 | Physical | 3,694 | -27% | 100% | 11,357 | -3% |
| WTI-Brent Spread | BV | Financial | 1,610 | 8% | 4% | 110,550 | 5% |
| WTI 1 Month CSO | 7A | Financial | 1,480 | -78% | 0% | 147,325 | 3% |
| Natural Gas options | 120,126 | -29% | 61% | 2,234,379 | -10% | ||
| Natural Gas European | LN | Financial | 100,582 | -29% | 64% | 1,799,989 | -17% |
| Natural Gas 1 Month CSO | G4 | Financial | 8,058 | 37% | 7% | 214,377 | 207% |
| Natural Gas American | ON | Physical | 7,904 | -61% | 99% | 116,767 | -39% |
| Natural Gas 6 Month CSO | G6 | Financial | 2,133 | 270% | 0% | 47,700 | 179% |
| Natural Gas 2 Month CSO | G2 | Financial | 741 | 51788% | 0% | 10,125 | N/A |
| Refined Product options | 1,517 | -60% | 29% | 43,030 | -49% | ||
| NY Harbor ULSD | OH | Physical | 1,104 | -57% | 28% | 26,565 | -44% |
| RBOB Gasoline | OB | Physical | 373 | -47% | 34% | 5,893 | -47% |
| Ethanol options | CVR | 327 | 118% | 0% | 12,900 | 96% |
- Cooler temps/dryness in the Southern Plains and a potential drought in Texas contributed to stronger Grains volume on the futures side.
- African Swine Fever (ASF) continued spreading through Asia and has now reached Europe. Domestic hog production has achieved records for 5 years in a row but we still don’t have the U.S.-Mexico-Canada trade agreement signed and trade tensions with China continue. Export demand has been strong but nowhere near where it could be given current demand and supply conditions.
- Hogs volume +22% YoY, OI +50%
- Live cattle volume +22% YoY, OI +8%
- Soybean Meal and Oil volume +38% and 31% respectively YoY
| Symbol | ADV | % YoY | % Globex | Month-End OI | OI % YoY | |
| Corn | OZC | 68,953 | -6% | 86% | 789,918 | -6% |
| Soybean | OZS | 41,694 | -34% | 89% | 451,492 | -16% |
| Chicago SRW Wheat | OZW | 17,998 | -29% | 86% | 236,946 | -7% |
| Lean Hogs | HE | 13,181 | 22% | 93% | 398,470 | 50% |
| Live Cattle | LE | 11,064 | 43% | 94% | 198,930 | 8% |
| Soybean Meal | OZM | 9,372 | 38% | 74% | 83,010 | -22% |
| Soybean Oil | OZL | 8,024 | 31% | 78% | 72,876 | 10% |
| Weekly Corn | ZC1-5 | 4,293 | -6% | 75% | 12,343 | -43% |
| KC HRW Wheat | OKE | 3,725 | 45% | 86% | 50,710 | 0% |
| Class III Milk | DC | 1,799 | 1% | 98% | 69,055 | -17% |
| Grain Calendar Spread options | 1,301 | 217% | 1% | 29,065 | 229% | |
| Weekly Soybeans | ZS1-5 | 1,178 | 17% | 66% | 4,227 | 109% |
| Feeder Cattle | GF | 1,045 | -11% | 95% | 17,121 | -28% |
| Weekly SRW Wheat | ZW1-5 | 648 | 31% | 89% | 1,805 | -41% |
- Overall muted volatility continues to impact G6 options volumes.
- CHF/USD ADV +788% YoY, OI +273%
- NZD/USD liquidity continues to improve
| Symbol | ADV | % YoY | % Globex | Month-End OI | OI % YoY | |
| EUR/USD | EUU | 15,224 | -48% | 99% | 228,086 | -16% |
| JPY/USD | JPU | 8,544 | -26% | 99% | 123,632 | -2% |
| CAD/USD | CAU | 5,173 | -10% | 98% | 68,403 | -1% |
| GBP/USD | GPU | 4,561 | -74% | 99% | 114,458 | -48% |
| AUD/USD | ADU | 3,717 | -48% | 100% | 69,457 | -9% |
| CHF/USD | CHU | 360 | 788% | 100% | 9,818 | 273% |
| NZD/USD | 6N | 97 | 100% | 100% | 1,048 | 4% |
| MXN/USD | 6M | 93 | 21% | 91% | 2,009 | -43% |
- Signs of slowing economic growth and increasingly accommodative Federal Reserve policy kept volume strong across the complex. Elevated open interest, including a record of over 700k contracts in Gold futures, led to healthy options volume.
- Gold options volume +12% YoY, OI +16%.
- Weekly Gold options (OG1-5) registered their a 45th consecutive month of YoY growth
- Copper options volume +46% YoY, OI +129%
| Symbol | ADV | % YoY | % Globex | Month-End OI | OI % YoY | |
| Gold | OG | 47,536 | 12% | 83% | 1,244,841 | 16% |
| Silver | SO | 8,035 | 0% | 91% | 117,351 | -44% |
| Gold Weeklies | OG1-5 | 7,711 | 220% | 96% | 21,453 | 90% |
| Copper | HX | 2,850 | 46% | 66% | 31,301 | 129% |
| Silver Weeklies | SO1-5 | 452 | 162% | 97% | 1,823 | 25% |
| Platinum | PO | 104 | -20% | 32% | 5,555 | -5% |
| Palladium | PAO | 65 | 44% | 39% | 1,417 | 71% |
Open Interest as of 11/29/19, 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.
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