Lean Hog Futures and Options
As of December 30, 2011
Lean Hog Futures Trading Venue
Open Outcry, CME Globex System
Contract Size
40,000 pounds
Minimum Price Increment
$.00025 per pound ($10 per contract)
Daily Price Limit
$.03 per pound ($1200); none in last 2 trading days for expiring contract
Last Trading Day
10th business day of contract month
Contract Months
Feb, Apr, May, Jun, Jul, Aug, Oct, Dec
Position Limits
4150 contracts in non-spot month; 950 in spot month
Trading Hours
Open Outcry: 9:05 am to 1:00 pm. Globex: 9:05 am Monday to 1:55 p.m. Friday with trading halt from 4-5 pm. daily
Settlement
Cash settled to CME Lean Hog Index
© 2011 CME Group. All rights reserved
2
CME Lean Hog Index ® •
National Prior Day Slaughter Cost (USDA Report LM_HG201)
•
Producer Sold , Barrows and Gilts
•
‘Negotiated’ and ‘Swine or Pork Market Formula’ Values
•
Average Net Price
•
Weighted by Head Count and Average Carcass Weight
•
Averaged over 2 days
•
Calculated every business day
© 2011 CME Group. All rights reserved
3
Lean Hog Options Trading Venue
Open Outcry, CME Globex System
Contract Size
1 Lean Hog futures contract
Minimum Price Increment
Same as futures
Strike Prices
$.02 per pound
Daily Price Limit
None
Last Trading Day
Same as futures
Contract Months
Same as futures
Position Limit
Aggregated with futures equivalents
Trading Hours
Open Outcry: 9:05 am to 1:02 pm. Globex: Same as futures
© 2011 CME Group. All rights reserved
4
Lean Hog Calendar Spread Options Trading Venue
Electronic and open outcry
Trading Unit Price Basis
Call-long 1 nearer future and short 1 deferred future Put-short 1 nearer future and long 1 deferred future Nearer futures price minus deferred futures price
Minimum Tick
$.00025 per pound
Price Limit
none
Last Trade Date
Business day prior to expiration of standard nearby option/future
Contract monthsListing cycle Position Limits
All consecutive and non-consecutive combinations for the first 5 listed futures contract months (10 calls, 10 puts) Aggregated with standard options on a futures delta-equivalent basis
Trading Hours
Same as standard options
Strike Intervals
$.005-lb for combinations with first 2 months, $.01 cent-lb for other months
Initial Strike Range Exercise
$.12 per pound above and below previous settlement for 1 cent intervals ($.06 cents for ½ cent intervals) European
Symbol
B0A, B0B, B0C, B0D-Globex; R0A, R0B, R0C, R0D-Floor/PRS/Clearing
© 2011 CME Group. All rights reserved
Lean Hog Futures Total Open Interest (at month end) 280000 260000 240000 220000 200000 180000 160000 140000 120000 100000 80000 60000 40000 20000
Ja nM 08 ar M 08 ay -0 Ju 8 lSe 08 pN 08 ov Ja 08 nM 09 ar M 09 ay -0 Ju 9 lSe 09 pN 09 ov Ja 09 nM 10 ar M 10 ay -1 Ju 0 lSe 10 pN 10 ov Ja 10 nM 11 ar M 11 ay -1 Ju 1 lSe 11 pN 11 ov -1 1
0
© 2011 CME Group. All rights reserved
6
Lean Hog Options Total Open Interest (at month end)
Ja nM 08 ar M 08 ay -0 Ju 8 lSe 08 pN 08 ov Ja 08 nM 09 ar M 09 ay -0 Ju 9 lSe 09 pN 09 ov Ja 09 nM 10 ar M 10 ay -1 Ju 0 lSe 10 pN 10 ov Ja 10 nM 11 ar M 11 ay -1 Ju 1 lSe 11 pN 11 ov -1 1
190000 180000 170000 160000 150000 140000 130000 120000 110000 100000 90000 80000 70000 60000 50000 40000 30000 20000 10000 0
© 2011 CME Group. All rights reserved
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© 2011 CME Group. All rights reserved
8
Ja n-0 8 Ma r-0 Ma 8 y-0 8 Ju l -0 Se 8 p -0 No 8 v-0 8 Ja n-0 9 Ma r-0 Ma 9 y-0 9 Ju l -0 9 Se p -0 No 9 v-0 9 Ja n-1 0 Ma r-1 Ma 0 y-1 0 Ju l -1 Se 0 p -1 No 0 v-1 0 Ja n-1 1 Ma r-1 Ma 1 y-1 1 Ju l -1 Se 1 p -1 No 1 v-1 1
Lean Hog Futures Average Daily Volume 50,000
Globex Volume
© 2011 CME Group. All rights reserved
Pit Volume
40,000
30,000
20,000
10,000
0
9
Ja n-0 8 Ma r-0 Ma 8 y-0 8 Ju l -0 8 Se p -0 No 8 v-0 8 Ja n-0 9 Ma r-0 Ma 9 y-0 9 Ju l -0 Se 9 p -0 9 No v-0 9 Ja n-1 0 Ma r-1 Ma 0 y-1 0 Ju l -1 0 Se p -1 0 No v-1 0 Ja n-1 Ma 1 r-1 Ma 1 y-1 1 Ju l -1 1 Se p -1 1 No v-1 1
Lean Hog Options Average Daily Volume 6000
Globex Volume
© 2011 CME Group. All rights reserved
Pit Volume
5000
4000
3000
2000
1000
0
10
Ja nM 08 ar M 08 ay -0 Ju 8 lSe 08 pN 08 ov Ja 08 nM 09 ar M 09 ay -0 Ju 9 lSe 09 pN 09 ov Ja 09 nM 10 ar M 10 ay -1 Ju 0 lSe 10 pN 10 ov Ja 10 nM 11 ar M 11 ay -1 Ju 1 lSe 11 pN 11 ov -1 1
Lean Hog Futures Monthly Volatility
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
© 2011 CME Group. All rights reserved
11
110
Lean Hog Futures Settlement Price by Contract Month
105
12/30/2011 12/31/2010
100
11/30/2011
95
USD$
90
85
80
75
70
© 2011 CME Group. All rights reserved
12
11
10
9
8
7
6
5
4
3
2
1
65
12
© 2011 CME Group. All rights reserved
13
Contact Us Greg Hennenfent Director Commodity Products & Services
[email protected] 312-930-3665
Tom Clark
Jack Cook
Associate Director Commodity Products & Services
[email protected] 312-930-4595
Associate Director Research & Product Development
[email protected] 312-930-3295
© 2011 CME Group. All rights reserved
14
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. The Globe Logo, CME®, Chicago Mercantile Exchange®, and Globex® are trademarks of Chicago Mercantile Exchange Inc. CBOT® and the Chicago Board of Trade® are trademarks of the Board of Trade of the City of Chicago. NYMEX, New York Mercantile Exchange, and ClearPort are trademarks of New York Mercantile Exchange, Inc. COMEX is a trademark of Commodity Exchange, Inc. CME Group is a trademark of CME Group 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. CME Group assumes no responsibility for any errors or omissions. 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, NYMEX nd CME Group rules. Current rules should be consulted in all cases concerning contract specifications.
© 2011 CME Group. All rights reserved
15
Lean Hog Futures and Options
In a world of increasing volatility, CME Group is where the world comes to manage risk across all major asset classes—interest rates, equity indexes, foreign exchange, energy, agricultural commodities, metals, and alternative investments like weather and real estate. Built on the heritage of CME, CBOT and NYMEX, CME Group is the world’s largest and most diverse derivatives exchange encompassing the widest range of benchmark products available. CME Group brings buyers and sellers together on the CME Globex electronic trading platform and on trading floors in Chicago and New York. We provide you with the tools you need to meet your business objectives and achieve your financial goals. And CME Clearing matches and settles all trades and guarantees the creditworthiness of every transaction that takes place in our markets.
