First Dominant Soybean Meal Options Series Reached Expiration

Date:09 August 2017
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August 7 was the expiry date for the soybean meal M1709 option series on Dalian Commodity Exchange (DCE). On the day, 32 contracts in the series were smoothly delisted. A market participant said that the expiry of the contracts in the M1709 option series, the first options contract series on a dominant futures contract, served as a comprehensive and effective test for DCE’s designing of the rules, the technical system implementation and all the market participants.

The M1709 option series is the largest in terms of transaction volume, open interest and number of participating clients since the listing and trading of the soybean meal options. According to statistics, a total of 32 contracts in the series were listed and traded, including 16 call option contracts and 16 put option contracts. In the life cycle, the M1709 option series recorded a total trading volume of 1.09 million contracts (on one side, the same below), a turnover of RMB 700 million and an average daily open interest of 48,000 contracts, accounting for 65%, 56% and 55% respectively of the totals for all soymeal options contracts, with the average daily turnover rate at about 0.3. A total of 2,749 clients participated in the trading, accounting for 14% of the total for soybean meal options, including 383 institutional clients who played a dominant role in the market and accounted for 57% of the transactions and 50% of the open interest of the M1709 series.

In terms of the volatility, since the listing, the M1709 series of option contracts had seen the implied volatility for at the money options ranging from 13% to 23%, nearly the same as the 30 day historical volatility of 12% to 22% recorded for the underlying futures.

With regard to exercise and performance, the data shows that on August 7 a total of 4,596 contracts in the M1709 option contract series were actually exercised, including 2,611 call option contracts and 1,985 put option contracts, accounting for 74.21% of the total volume of exercise since the listing of the M1709 option series. All the exercised were in-the-money options (based on the settlement price of the M1709 futures contract on the day, the same below), with no out-of-the-money options applied for exercise. Regarding the number of clients, a total of 72 clients participated in the exercise on the day.

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