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Data-driven recaps of the Corn, Soybean, and Chicago Wheat markets delivered daily to your inbox, highlighting significant changes in volume, open interest, price, volatility, and skew.

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JANUARY 3 2025
Corn

Friday's Corn market was sharply lower over a sizable trading range, with the March contract lower by 8'6, or 1.90%, to 450'6, a one week low. Across all maturities, the session saw 334,791 contracts done, with March volume coming in at 199,340. Total open interest decreased 10,143, or 0.61%, to 1,657,915. March shed 17,048 (2.29%), finishing at 726,792.

Option trading centered around the March 460 calls with 10,272 changing hands and the March 430 puts with volume of 6,321. Calls with the most open interest are the July 500 strike (43,303), and for the puts are the March 430 strike (27,865).

As measured by CVL, implied volatility ended the day slightly lower, dropping 0.082 to finish at a one week low of 18.18. The 30-day historical volatility closed the session even on the day nan% to nan%. The CVL Skew was sharply lower with the 30-day dropping 0.44, closing the day at a one week low of 0.44.

Soybean

March Soybean futures settled at a one week low of 991'6 Friday, off 20'2, or 2.00%. Across all maturities, 245,423 contracts changed hands, with 155,028 traded in the March maturity. Total open interest shed 2,110 (0.26%) to end the session with 805,345 outstanding. The March maturity decreased by 1.16%, or 2,110, to finish at 394,824.

Option volumes were largest for the March 1000 call (4,592) and the March 980 put (13,986). Options with the highest open interest are the March 1100 call with 16,690, and the March 980 put with 24,773.

As measured by SVL, implied volatility finished the day lower, dropping by 0.39 to settle at a one week low of 18.13. Historical volatility (30-day) closed at 16.02%, adding 1.02%, to a one week high. The SVL Skew ended the session sharply lower, down 0.31 to close at 0.46, a one week low.

Chicago Wheat

March Wheat futures finished at a contract low of 529'2 Friday, down by 16'4 or 3.02%. Combined volume came in at a one month high of 145,044, with March seeing a heavy 87,535 traded. Overall open interest finished the day at a contract high of 475,534, higher by 11,579, or 2.50%. March open interest added 6,550 (2.52%), to 266,581.

The March 500 put saw the most changing hands with 2,683 contracts traded. Calls with the largest open interest are the May 620 strike (13,316), and for the puts are the March 520 strike (4,962).

Implied Volatility ended the session sharply lower with WVL off by 2.3, to close the day at a one week low of 26.15. Historical volatility (30-day) settled at nan%, unchanged for the day nan%. The WVL Skew ended sharply lower, down by 2.0 to finish at 8.04, a one week low.

JANUARY 2 2025
Corn

March Corn futures ended the day at a one month high of 459'4 Thursday, adding 1'0. Overall the session saw 308,598 contracts change hands, with March volume coming in at 163,449. Total open interest ended at a one month high of 1,668,384, higher by 17,583, or 1.07%. March open interest shed 2,065 (0.28%), to 744,166.

Option trading centered around the Jan ZC1 460 calls with 2,458 changing hands and the Feb 420 puts with volume of 2,404. For March options, the 440 calls were the most actively traded with 2,112 done, and the highest volume put was the 460 strike with 2,243 contracts changing hands. Calls with the most open interest are the July 500 strike (43,249), and for the puts are the March 430 strike (25,789).

Implied Volatility finished the day slightly down with CVL losing 0.12, to close at a one week low of 18.26. Unchanged on the session nan%, historical volatility (as measured by the 30-day) ended the day at nan%. The CVL Skew ended the day moderately lower, down by 0.083 to close the session at 0.88.

Soybean

March Soybean futures ended the day at a one month high of 1012'0 Thursday, up by 1'4. Across all maturities, 230,325 contracts were traded, with 129,597 done in the March maturity. Total open interest decreased 1,644, or 0.20%, to 808,411. March dropped 4,001 (0.99%), finishing at 400,011.

Option volumes were largest for the Feb 1010 call (1,642) and the March 980 put (7,521). Calls with the highest open interest are the March 1100 strike (16,677), and for the puts are the March 980 strike (28,763).

Soybean implied volatility finished the session down as SVL lost 0.43 to settle at 18.52, a one week low. Dropping by 0.38%, historical volatility (as measured by the 30-day) ended the session at 15.00%. The SVL Skew closed the day moderately higher, up 0.029 to end the session at a one month high of 0.77.

Chicago Wheat

March Wheat futures settled at a one week low of 545'6 Thursday, lower by 5'6, or 1.04%. Overall volume was a light 79,465, with March seeing 44,332 change hands. Total open interest closed the day at a one month high of 463,846, adding 3,429 (0.74%). March open interest rose by 1,658, or 0.64%, to 259,937.

The Feb 540 put saw the most changing hands with 508 contracts done. For March options, the 580 calls had the highest volume with 544 changing hands, and the most actively traded put was the 520 strike with 470 contracts done. Options with the greatest open interest are the March 600 call with 17,832, and the March 520 put with 4,784.

Implied Volatility ended the day slightly lower with WVL off 0.11, to settle at 28.41. The 30-day historical volatility ended unchanged for the session nan% to nan%. The WVL Skew settled slightly higher, adding 0.011 to close at a one month high of 10.00.

DECEMBER 31 2024
Corn

March Corn futures finished the session at a one month high of 458'4 Tuesday, gaining 6'2 or 1.38%. Overall volume was a light 291,376, with March seeing 172,882 traded. Across all maturities, open interest ended the day at a one month high of 1,650,817, gaining 13,688, or 0.84%. March open interest increased 2,335 (0.31%), to 746,247.

The Feb 450 put saw the most changing hands with 3,599 contracts done. Options with the greatest open interest are the July 450 call with 43,218, and the March 430 put with 26,406.

Corn implied volatility settled down as CVL lost 0.4 to end the day at 18.38, a one week low. Even on the day nan%, historical volatility (as measured by the 30-day) finished at nan%. The CVL Skew was sharply up with the 30-day higher by 0.29, finishing at 0.96.

Soybean

March Soybean futures finished the session at a one month high of 1010'4 Tuesday, up 18'6 (1.89%). Overall volume was 244,935, with March seeing 142,790 done. Total open interest gained 3,333 (0.41%) to 814,260. March shed 2,053, or 0.50%, finishing at 406,116.

Option volumes were largest for the March 1040 call (4,516) and the March 1000 put (4,611). Options with the largest open interest are the March 1100 call with 16,977, and the March 980 put with 30,476.

Implied Volatility closed slightly down with SVL off by 0.0065, to settle at a one week low of 18.95. Higher by 0.68%, historical volatility (as measured by the 30-day) ended at 15.39%. The SVL Skew was moderately higher with the 30-day adding 0.19, closing at a one month high of 0.74.

Chicago Wheat

For the fourth consecutive session, Wheat futures finished higher, with the March contract settling Tuesday at 551'4, up 3'2. Across all maturities, a light 53,151 contracts were traded, with 33,827 done in the March maturity. Combined open interest decreased 1,082 (0.23%) to 460,497. March fell 2,168, or 0.83%, finishing at 258,357.

Option trading centered around the March 600 calls with 1,607 traded and the March 530 puts with volume of 514. Option open interest is largest for the March 600 calls at 17,836, and the March 520 puts at 4,427.

Wheat implied volatility closed the session slightly lower as WVL dropped 0.14 to finish the day at 28.52. Even on the session nan%, historical volatility (as measured by the 30-day) ended the day at nan%. The WVL Skew was slightly higher with the 30-day gaining 0.18, finishing the session at a one month high of 9.99.

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