CME Group

Overview of CME Lean Hog Index 

and Lean Hog Futures

Anne Krema, Director 

Commodity Research & Product Development 
CME GROUP PUBLIC © 2021 CME Group. All rights reserved. 

CME Group offers the widest range of benchmark 

futures and options products, covering all major asset 

classes – and all kinds of risk.
CME GROUP PUBLIC © 2021 CME Group. All rights reserved. 

Where the World Comes to Manage Risk

CME Group’s ADV 

is roughly 19 million 

contracts

Agricultural Product 

ADV is roughly 1.4 

million contracts

Livestock ADV is 

roughly 138,000 

contracts

Note: Date range referenced for ADV is 1/1/2021-9/30/2021
CME GROUP PUBLIC © 2021 CME Group. All rights reserved. 

Price Risk Management

• Futures and options markets are used by 

agricultural market participants to hedge 

against adverse price movements in the 

cash market.

• Trade in futures is the buying and selling of 

a contractual obligation calling for future 

delivery of a specified commodity or cash 

payment (debits or credits) in lieu of 

physical delivery.

• Options on futures are contracts that 

represent the right, not the obligation, to 

either buy or sell a particular underlying 

futures contract at a specified price on or 

before a specified date.
CME GROUP PUBLIC © 2021 CME Group. All rights reserved. 

CME Group Agricultural Product Line

Livestock

Live Cattle

Feeder Cattle

Lumber & Softs

Random Length Lumber

Cotton

Cocoa

Coffee

Dairy

Class III Milk

Class IV Milk

Nonfat Dry Milk

Dry Whey

Cash-settled Butter

Cash-settled Cheese

Block Cheese

Lean Hogs

Pork Cutout

Grains & Oilseeds

Corn

Soybeans

Soybean Oil

Soybean Meal

Chicago SRW Wheat

KC HRW Wheat

Black Sea Wheat

FOB Santos Soybeans

Malaysian Palm Oil

Rough Rice

Oats

Lumber

Random Length Lumber

Fertilizer

Urea FOB US Gulf

Urea FOB Middle East

Urea CFR Brazil

Urea FOB Egypt

DAP FOB NOLA

UAN FOB NOLA Swaps

MAP CFR Brazil 
CME GROUP PUBLIC © 2021 CME Group. All rights reserved. 

CME Hog Futures Over Time 

• Physical delivery (last expiration in December 1996):

• Total of 40,000 lbs. of Grade #1, #2 and #3 live hogs at 230-260 lbs. each

• Stockyard delivery at par in Peoria, Omaha, Sioux City, Sioux Falls and with discounts in E. St. Louis, St. 

Joseph, St. Paul

• Last trading day was 6th to the last business day of contract month

• Cash settlement (first expiration in February 1997):

• Total of 40,000 lbs. of hog carcasses

• Based on USDA national daily price reports for slaughtered swine

• Last trading day is 10th business day of contract month
CME GROUP PUBLIC © 2021 CME Group. All rights reserved. 

CME Lean Hog Futures Contract Specifications

Specification Description

Contract Unit 40,000 pounds (~18 MT)

Price U.S. Cents per pound

Minimum Price 

Fluctuation 

Limits

$.00025 per pound ($10 per contract)

Daily Price Limit $0.0475/lb, expandable to $0.07/lb

Trading Hours Globex: Monday – Friday: 8:30am – 1:05pm CST

Product Code CME Globex: HE

Clearing: LN

Listed Contracts 2 Monthly contracts of Feb, Apr, May, Jun, Jul, Aug, Oct, Dec 

Settlement 

Method

Financially Settled (All contracts open as of the termination of trading shall be 

cash settled based upon the CME Lean Hog Index® for the two–day period 

ending on the day on which trading terminates.)

Termination of 

Trading 10th business day of the contract month, 12:00 p.m.

Exchange 

Rulebook CME 152
CME GROUP PUBLIC © 2021 CME Group. All rights reserved. 

Futures Market Growth

CME Lean Hog Futures Average Volume and Open 

Interest

 300,000 70,000

 250,000 60,000

 50,000

 200,000

Open Interest

 40,000

 150,000

DVA

 30,000

 100,000

 20,000

 50,000 10,000

 - -

Average Open Interest Average Daily Volume (ADV)
CME GROUP PUBLIC © 2021 CME Group. All rights reserved. 

Options Market Growth

 -

 2,000

 4,000

 6,000

 8,000

 10,000

 12,000

 14,000

 16,000

 18,000

 -

 50,000

 100,000

 150,000

 200,000

 250,000

 300,000

 350,000

 400,000

ADV

Open Interest

CME Lean Hog Options Average Volume and Open Interest

Average Open Interest Average Daily Volume (ADV)
CME GROUP PUBLIC © 2021 CME Group. All rights reserved. 

Cash Market Prices and Flow of Information

Producer sells 

hogs directly to 

packer in the cash 

market

Negotiated & formula 

carcass pricing

Packer reports 

purchases to the USDA 

in accordance with U.S. 

laws

USDA organizes, 

audits, and 

disseminates cash 

data

Reports hog 

purchases to USDA

Price reports shared 

publically daily

FINAL futures 

settlement to CME 

Lean Hog 2-day 

index
CME GROUP PUBLIC © 2021 CME Group. All rights reserved. 

• National Daily Direct Hog Prior Day Report – Slaughtered Swine (USDA Report LM_HG201) 

• Producer Sold, Barrows and Gilts

• “Negotiated”, “Swine or Pork Market Formula” (SPMF), and “Negotiated Formula” Values

• Average Net Price

• Weighted by Head Count and Average Carcass Weight

• Averaged over 2 days

• Calculated every business day

CME Lean Hog Index
CME GROUP PUBLIC © 2021 CME Group. All rights reserved. 

Datapoints Used for Calculation of the CME Lean Hog Index

Source: https://mymarketnews.ams.usda.gov/filerepo/sites/default/files/2511/2021-09-23/508228/ams_2511_00404.pdf
CME GROUP PUBLIC © 2021 CME Group. All rights reserved. 

Index Calculation

Daily Total Value 

Negotiated SPMF Negotiated Formula

Head Count

*Average Carcass Wt.

*Average Net Price

Head Count

*Average Carcass Wt.

*Average Net Price

Head Count

*Average Carcass Wt. = *Average Net Price + +

Daily Total Weight 

Negotiated

Head Count

*Average Carcass Wt.

Head Count

*Average Carcass Wt.

Head Count

*Average Carcass Wt.

SPMF Negotiated Formula

CME Lean Hog Index

Sum of Daily Total 

Value from the last 

2 days

Sum of Daily Total 

Weight from the 

last 2 days

=

= ÷

+ +
CME GROUP PUBLIC © 2021 CME Group. All rights reserved. 

Published CME Lean Hog Index Prices

https://www.cmegroup.com/market-data/reports/commodity-index-prices.html
CME GROUP PUBLIC © 2021 CME Group. All rights reserved. 

Final Settlement

CME GROUP PUBLIC © 2021 CME Group. All rights reserved. 

Neither futures trading nor swaps trading are suitable for all investors, and each involves the risk of loss. Swaps trading should only be 

undertaken by investors who are Eligible Contract Participants (ECPs) within the meaning of Section 1a(18) of the Commodity Exchange 

Act. Futures and swaps each are leveraged investments 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 either a futures or swaps 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 

traders cannot expect to profit on every trade.

CME Group, the Globe Logo, CME, Globex, E-Mini, CME Direct, CME DataMine and Chicago Mercantile Exchange are trademarks of 

Chicago Mercantile Exchange Inc. CBOT is a trademark of the Board of Trade of the City of Chicago, Inc. NYMEX is a trademark 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 communication has been compiled by CME Group for general purposes only. CME Group assumes no 

responsibility for any errors or omissions. Additionally, all examples in this communication 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 superseded by official CME, CBOT, NYMEX and COMEX rules. Current rules should be 

consulted in all cases concerning contract specifications.

Copyright © 2021 CME Group Inc. All rights reserved.

Disclaimer