Ag Update_july 2009
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July 2009
Monthly Agricultural Update
A Global Trading Summary of Grain, Oilseed and Livestock Markets • Highlights • Futures • Options
Monthly Agricultural Update
CME GROUP HIGHLIGHTS July 2009
•
Average daily volume for July 2009 Grain and Oilseed futures was 531,011 contracts, compared with 583,566 during July 2008, a decrease of 9.01 percent.
•
Average daily volume for July 2009 Grain and Oilseed options was 128,714 contracts, compared with 151,550 during July 2008, a decrease of 15.07 percent.
•
Average daily volume for July 2009 Oilseed complex futures was 251,644 contracts, compared with 273,534 during July 2008, a decrease of 8 percent.
•
Average daily volume for July 2009 Oilseed complex options was 52,378 contracts, compared with 42,980 during July 2008, an increase of 21.87 percent.
•
Average daily volume for July 2009 Live Cattle and Lean Hog futures and options was 75,538 contracts, compared with 96,363 during July 2008, a decrease of 21.61 percent.
•
Electronic average daily volume for July 2009 Live Cattle and Lean Hog futures was 36,433 contracts, compared with 30,028 during July 2008, an increase of 21.33 percent.
•
Since the start of side-by-side trading of Grain and Oilseed options on April 14, 2008, over 1,294,000 options contracts have traded electronically, averaging about 3,900 contracts per day.
Grain and Oilseed Calendar Spread Options Additional Listing Cycles Listing cycles for CSO contracts now include additional nonconsecutive spreads for Corn, Wheat and Soybean options on futures. Learn more at www.cmegroup.com/cso.
1
www.cmegroup.com
Scorecard - Average Daily Volume and Open Interest Statistics July 2009 Average Daily Volume
Ticker Symbols Electronic - Pit Contracts Corn
ZC
C
216,627
$3,677
882,162
$14,975
Mini Futures
XC
YC
596
$2
10,051
$34
217,223
$3,679
892,213
$15,009
Options
Soybeans
63,926
ZW
W
59,004
$1,558
324,580
$8,573
Mini Futures
XW
YW
266
$1
1,256
$7
Total Futures
59,270
$1,560
325,836
$8,580
Options
12,313
Futures
ZS
S
Mini Futures
XB
YK
Options
Futures
ZL
BO
ZM
SM
Futures
ZR
RR
Oats
Futures
Live Cattle
Futures
ZO
O
Futures Options
22,417
$254
413,828
$22,447
52,120
747
881
LE
LC
38,881
$1,476
LH
29,276 2,570
339 1/2
$133.66
42.25%
528 1/4
$194.10
29.82%
$416.67
48.55%
1134
250,411
$5,268
35.06
$772.94
35.38%
$6,204
361.00
$397.93
46.40%
$256
13.77
$303.47
19.76%
$114.87
32.66%
148,766
$1,882
171,850 76,853
$21
9,313 2,770
$9
14,616
$145
198
2,559
$1,454
4,811
HE
20-Day Historical Volatility
540,230
48
Options
Lean Hog
$14
49
Options
$22,193
$7,348
4,122
Options
391,411
1,246
5,428
Options
Rough Rice
$7,334
130,594
70,176
Spot Month Close in US$/MT 31-Jul-'09
268,663
42,822
Options
Soybean Meal Futures
129,348
Spot Month Close on 31-Jul-'09
1,243,852
Futures
Total Futures
Soybean Oil
Contracts
$ Notional ($ Millions)
Futures
Total Futures
Wheat
$ Notional ($ Millions)
Open Interest
232,795
$8,704
84.7
11.93%
$3,652
56.02
35.15%
196,586
$860
124,254 76,019
2
Monthly Agricultural Update
Combined Futures and Options Grain and Oilseed - Average Daily Volume 1,200,000 Options Futures 1,000,000
Contracts
800,000
600,000
400,000
200,000
0
Corn and Wheat Futures - Average Daily Volume 500,000 Wheat 450,000
Corn
400,000
Contracts
350,000 300,000 250,000 200,000 150,000 100,000 50,000 0
3
www.cmegroup.com
Soybean Complex Futures - Average Daily Volume 350,000 Soy Oil Soy Meal 300,000
Soybeans
Contracts
250,000
200,000
150,000
100,000
50,000
0
Oats and Rice Futures - Average Daily Volume 7,000 Rice 6,000
Oats
Contracts
5,000
4,000
3,000
2,000
1,000
0
4
Monthly Agricultural Update
Mini Grain and Oilseed Futures - Average Daily Volume 5,000 Mini Wheat Mini Corn
4,500
Mini Soybeans 4,000
Contracts
3,500 3,000 2,500 2,000 1,500 1,000 500 0
Options - Average Daily Volume 250,000 Wheat Soybean Complex Corn
Contracts
200,000
150,000
100,000
50,000
0
5
www.cmegroup.com
Corn Futures - Average Daily Volume by Trading Platform 400,000 Open Auction 350,000
Electronic
300,000
Contracts
250,000
200,000
150,000
100,000
50,000
0
Wheat Futures - Average Daily Volume by Trading Platform 140,000 Open Auction 120,000
Electronic
Contracts
100,000
80,000
60,000
40,000
20,000
0
6
Monthly Agricultural Update
Soybean Futures - Average Daily Volume by Trading Platform 200,000 Open Auction 180,000
Electronic
160,000
Contracts
140,000 120,000 100,000 80,000 60,000 40,000 20,000 0
Soy Meal Futures - Average Daily Volume by Trading Platform 70,000 Open Auction Electronic 60,000
Contracts
50,000
40,000
30,000
20,000
10,000
0
7
www.cmegroup.com
Soy Oil Futures - Average Daily Volume by Trading Platform 100,000 Open Auction
90,000
Electronic 80,000
Contracts
70,000 60,000 50,000 40,000 30,000 20,000 10,000 0
Live Cattle and Lean Hog Futures - Average Daily Volume 100,000 Lean Hog 90,000
Live Cattle
80,000
Contracts
70,000 60,000 50,000 40,000 30,000 20,000 10,000 0
8
Monthly Agricultural Update
Live Cattle and Lean Hog Options - Average Daily Volume 10,000 Lean Hog 9,000
Live Cattle
8,000 7,000
Contracts
6,000 5,000 4,000 3,000 2,000 1,000 0
Live Cattle Futures - Average Daily Volume by Trading Platform 60,000 Electronic Open Auction 50,000
Contracts
40,000
30,000
20,000
10,000
0
9
www.cmegroup.com
Lean Hog Futures - Average Daily Volume by Trading Platform 50,000 Electronic 45,000
Open Auction
40,000 35,000
Contracts
30,000 25,000 20,000 15,000 10,000 5,000 0
Corn and Wheat - Monthly Historical Volatility 90% Wheat
Corn
80% 70% 60% 50% 40% 30% 20% 10% 0%
10
Monthly Agricultural Update
Soybeans, Soy Meal and Soy Oil - Monthly Historical Volatility 70% Soybeans
Soy Meal
Soy Oil
60%
50%
40%
30%
20%
10%
0%
Rough Rice and Oats - Monthly Historical Volatility 80% Rough Rice
Oats
70%
60%
50%
40%
30%
20%
10%
0%
11
www.cmegroup.com
Live Cattle and Lean Hog - Monthly Historical Volatility 70% Live Cattle
Lean Hog
60%
50%
40%
30%
20%
10%
0%
CFTC COT Report - Commodity Index Funds Long Positions as a Percent of Total Open Interest 60% Corn
Wheat
Soybeans
SoyOil
50%
40%
30%
20%
10%
0%
Source: CFTC
12
Monthly Agricultural Update
CFTC COT Report - Commodity Index Funds Long Positions as a Percent of Total Open Interest 70% Lean Hog
Live Cattle
60%
50%
40%
30%
20%
10%
0%
Source: CFTC
Average Hourly Electronic Volumes - All Hours - July 2009 160,000 Corn Futures 140,000
Wheat Futures Soybean Futures
120,000
Contracts
100,000 80,000
Soybean Meal Futures Soybean Oil Futures Live Cattle Futures Lean Hog Futures
60,000 40,000 20,000 0
Chicago Time
13
www.cmegroup.com
Average Hourly Electronic Volumes - Non-US Hours - July 2009
18,000 Corn Futures 16,000
Wheat Futures Soybean Futures
14,000
Soybean Meal Futures
Contracts
12,000
Soybean Oil Futures Live Cattle Futures
10,000
Lean Hog Futures 8,000 6,000 4,000 2,000 0
Chicago Time
Disclaimer Futures 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. The Globe logo, CME® and CME Group™ are trademarks of Chicago Mercantile Exchange, Inc. CBOT® and Chicago Board of Trade® are trademarks of The Board of Trade of the City of Chicago, Inc. NYMEX, New York Mercantile Exchange and ClearPort are trademarks of New York Mercantile Exchange, Inc. COMEX is a trademark of Commodity Exchange, Inc. All other trademarks are the property of their respective owners. The information within this presentation has been compiled by CME Group for general purposes only. Although every attempt has been made to ensure the accuracy of the information within this presentation, CME Group assumes no responsibility for any errors or omissions. Additionally, all examples in this presentation are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or the results of actual market experience. All matters pertaining to rules and specifications herein are made subject to and are superseded by official CME, CBOT and CME Group rules. Current rules should be consulted in all cases concerning contract specifications.
14
CME Group headquarters
20 South Wacker Drive Chicago, Illinois 60606 cmegroup.com
CME Group global offices
[email protected] 800 331 3332 312 930 1000
Chicago
New York
Houston
Washington D.C.
Hong Kong
London
Singapore
Sydney
Tokyo
AC322.7/0/0709
Monthly Agricultural Update
A Global Trading Summary of Grain, Oilseed and Livestock Markets • Highlights • Futures • Options
Monthly Agricultural Update
CME GROUP HIGHLIGHTS July 2009
•
Average daily volume for July 2009 Grain and Oilseed futures was 531,011 contracts, compared with 583,566 during July 2008, a decrease of 9.01 percent.
•
Average daily volume for July 2009 Grain and Oilseed options was 128,714 contracts, compared with 151,550 during July 2008, a decrease of 15.07 percent.
•
Average daily volume for July 2009 Oilseed complex futures was 251,644 contracts, compared with 273,534 during July 2008, a decrease of 8 percent.
•
Average daily volume for July 2009 Oilseed complex options was 52,378 contracts, compared with 42,980 during July 2008, an increase of 21.87 percent.
•
Average daily volume for July 2009 Live Cattle and Lean Hog futures and options was 75,538 contracts, compared with 96,363 during July 2008, a decrease of 21.61 percent.
•
Electronic average daily volume for July 2009 Live Cattle and Lean Hog futures was 36,433 contracts, compared with 30,028 during July 2008, an increase of 21.33 percent.
•
Since the start of side-by-side trading of Grain and Oilseed options on April 14, 2008, over 1,294,000 options contracts have traded electronically, averaging about 3,900 contracts per day.
Grain and Oilseed Calendar Spread Options Additional Listing Cycles Listing cycles for CSO contracts now include additional nonconsecutive spreads for Corn, Wheat and Soybean options on futures. Learn more at www.cmegroup.com/cso.
1
www.cmegroup.com
Scorecard - Average Daily Volume and Open Interest Statistics July 2009 Average Daily Volume
Ticker Symbols Electronic - Pit Contracts Corn
ZC
C
216,627
$3,677
882,162
$14,975
Mini Futures
XC
YC
596
$2
10,051
$34
217,223
$3,679
892,213
$15,009
Options
Soybeans
63,926
ZW
W
59,004
$1,558
324,580
$8,573
Mini Futures
XW
YW
266
$1
1,256
$7
Total Futures
59,270
$1,560
325,836
$8,580
Options
12,313
Futures
ZS
S
Mini Futures
XB
YK
Options
Futures
ZL
BO
ZM
SM
Futures
ZR
RR
Oats
Futures
Live Cattle
Futures
ZO
O
Futures Options
22,417
$254
413,828
$22,447
52,120
747
881
LE
LC
38,881
$1,476
LH
29,276 2,570
339 1/2
$133.66
42.25%
528 1/4
$194.10
29.82%
$416.67
48.55%
1134
250,411
$5,268
35.06
$772.94
35.38%
$6,204
361.00
$397.93
46.40%
$256
13.77
$303.47
19.76%
$114.87
32.66%
148,766
$1,882
171,850 76,853
$21
9,313 2,770
$9
14,616
$145
198
2,559
$1,454
4,811
HE
20-Day Historical Volatility
540,230
48
Options
Lean Hog
$14
49
Options
$22,193
$7,348
4,122
Options
391,411
1,246
5,428
Options
Rough Rice
$7,334
130,594
70,176
Spot Month Close in US$/MT 31-Jul-'09
268,663
42,822
Options
Soybean Meal Futures
129,348
Spot Month Close on 31-Jul-'09
1,243,852
Futures
Total Futures
Soybean Oil
Contracts
$ Notional ($ Millions)
Futures
Total Futures
Wheat
$ Notional ($ Millions)
Open Interest
232,795
$8,704
84.7
11.93%
$3,652
56.02
35.15%
196,586
$860
124,254 76,019
2
Monthly Agricultural Update
Combined Futures and Options Grain and Oilseed - Average Daily Volume 1,200,000 Options Futures 1,000,000
Contracts
800,000
600,000
400,000
200,000
0
Corn and Wheat Futures - Average Daily Volume 500,000 Wheat 450,000
Corn
400,000
Contracts
350,000 300,000 250,000 200,000 150,000 100,000 50,000 0
3
www.cmegroup.com
Soybean Complex Futures - Average Daily Volume 350,000 Soy Oil Soy Meal 300,000
Soybeans
Contracts
250,000
200,000
150,000
100,000
50,000
0
Oats and Rice Futures - Average Daily Volume 7,000 Rice 6,000
Oats
Contracts
5,000
4,000
3,000
2,000
1,000
0
4
Monthly Agricultural Update
Mini Grain and Oilseed Futures - Average Daily Volume 5,000 Mini Wheat Mini Corn
4,500
Mini Soybeans 4,000
Contracts
3,500 3,000 2,500 2,000 1,500 1,000 500 0
Options - Average Daily Volume 250,000 Wheat Soybean Complex Corn
Contracts
200,000
150,000
100,000
50,000
0
5
www.cmegroup.com
Corn Futures - Average Daily Volume by Trading Platform 400,000 Open Auction 350,000
Electronic
300,000
Contracts
250,000
200,000
150,000
100,000
50,000
0
Wheat Futures - Average Daily Volume by Trading Platform 140,000 Open Auction 120,000
Electronic
Contracts
100,000
80,000
60,000
40,000
20,000
0
6
Monthly Agricultural Update
Soybean Futures - Average Daily Volume by Trading Platform 200,000 Open Auction 180,000
Electronic
160,000
Contracts
140,000 120,000 100,000 80,000 60,000 40,000 20,000 0
Soy Meal Futures - Average Daily Volume by Trading Platform 70,000 Open Auction Electronic 60,000
Contracts
50,000
40,000
30,000
20,000
10,000
0
7
www.cmegroup.com
Soy Oil Futures - Average Daily Volume by Trading Platform 100,000 Open Auction
90,000
Electronic 80,000
Contracts
70,000 60,000 50,000 40,000 30,000 20,000 10,000 0
Live Cattle and Lean Hog Futures - Average Daily Volume 100,000 Lean Hog 90,000
Live Cattle
80,000
Contracts
70,000 60,000 50,000 40,000 30,000 20,000 10,000 0
8
Monthly Agricultural Update
Live Cattle and Lean Hog Options - Average Daily Volume 10,000 Lean Hog 9,000
Live Cattle
8,000 7,000
Contracts
6,000 5,000 4,000 3,000 2,000 1,000 0
Live Cattle Futures - Average Daily Volume by Trading Platform 60,000 Electronic Open Auction 50,000
Contracts
40,000
30,000
20,000
10,000
0
9
www.cmegroup.com
Lean Hog Futures - Average Daily Volume by Trading Platform 50,000 Electronic 45,000
Open Auction
40,000 35,000
Contracts
30,000 25,000 20,000 15,000 10,000 5,000 0
Corn and Wheat - Monthly Historical Volatility 90% Wheat
Corn
80% 70% 60% 50% 40% 30% 20% 10% 0%
10
Monthly Agricultural Update
Soybeans, Soy Meal and Soy Oil - Monthly Historical Volatility 70% Soybeans
Soy Meal
Soy Oil
60%
50%
40%
30%
20%
10%
0%
Rough Rice and Oats - Monthly Historical Volatility 80% Rough Rice
Oats
70%
60%
50%
40%
30%
20%
10%
0%
11
www.cmegroup.com
Live Cattle and Lean Hog - Monthly Historical Volatility 70% Live Cattle
Lean Hog
60%
50%
40%
30%
20%
10%
0%
CFTC COT Report - Commodity Index Funds Long Positions as a Percent of Total Open Interest 60% Corn
Wheat
Soybeans
SoyOil
50%
40%
30%
20%
10%
0%
Source: CFTC
12
Monthly Agricultural Update
CFTC COT Report - Commodity Index Funds Long Positions as a Percent of Total Open Interest 70% Lean Hog
Live Cattle
60%
50%
40%
30%
20%
10%
0%
Source: CFTC
Average Hourly Electronic Volumes - All Hours - July 2009 160,000 Corn Futures 140,000
Wheat Futures Soybean Futures
120,000
Contracts
100,000 80,000
Soybean Meal Futures Soybean Oil Futures Live Cattle Futures Lean Hog Futures
60,000 40,000 20,000 0
Chicago Time
13
www.cmegroup.com
Average Hourly Electronic Volumes - Non-US Hours - July 2009
18,000 Corn Futures 16,000
Wheat Futures Soybean Futures
14,000
Soybean Meal Futures
Contracts
12,000
Soybean Oil Futures Live Cattle Futures
10,000
Lean Hog Futures 8,000 6,000 4,000 2,000 0
Chicago Time
Disclaimer Futures 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. The Globe logo, CME® and CME Group™ are trademarks of Chicago Mercantile Exchange, Inc. CBOT® and Chicago Board of Trade® are trademarks of The Board of Trade of the City of Chicago, Inc. NYMEX, New York Mercantile Exchange and ClearPort are trademarks of New York Mercantile Exchange, Inc. COMEX is a trademark of Commodity Exchange, Inc. All other trademarks are the property of their respective owners. The information within this presentation has been compiled by CME Group for general purposes only. Although every attempt has been made to ensure the accuracy of the information within this presentation, CME Group assumes no responsibility for any errors or omissions. Additionally, all examples in this presentation are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or the results of actual market experience. All matters pertaining to rules and specifications herein are made subject to and are superseded by official CME, CBOT and CME Group rules. Current rules should be consulted in all cases concerning contract specifications.
14
CME Group headquarters
20 South Wacker Drive Chicago, Illinois 60606 cmegroup.com
CME Group global offices
[email protected] 800 331 3332 312 930 1000
Chicago
New York
Houston
Washington D.C.
Hong Kong
London
Singapore
Sydney
Tokyo
AC322.7/0/0709
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