2020 Price And Volatility In Review

By Craig Bewick
JAN 04 2021

Happy New Year and welcome back to all of our In FOCUS readers!  As we head into the 2021 trading year, we wanted to take a quick look back at CME Group markets in 2020 (though we realize few want to re-live that year…).  In a format that should be familiar to In FOCUS readers, we’ve recapped the price, volatility and skew moves in some of our major products that occurred from 12/31/19 to 12/31/20.   To say it was an eventful year in the financial and commodity markets is surely an understatement and the fact that implied volatility increased in every product we showcased here certainly supports that.  Some notable highlights include:

  • E-mini Nasdaq-100 futures price up by nearly 50% and implied volatility rose from 14.7% to 23%.  Also notable, the futures price is up about 85% from its March lows and volatility is down from a March high of 76%. 
  • Gold futures prices rallied by about 25% and implied volatility has increased from 10.4% to 17.6%.  Implied volatility reached a high of 48.2% earlier in the year. 
  • CME Grains, which were relatively quiet earlier in the year, saw significant price action in the second half.  Soybean futures prices were up by nearly 40% and implied volatility rose from 14.6% to 27.2%. 
  • Cryptocurrency price moves stole the headlines toward the end of the year.  Bitcoin futures prices were up by over 300% (and continued to rise today) and implied volatility is currently over 100%! 
  • US Bond future prices rose by about 11%.  This translates to a decline in implied yield from 2.26% to 1.58% in the US Bond futures.

And now that we’ve taken a minute to review from where we’ve come, let’s put 2020 behind us and look forward to a great 2021.  While the major equity indexes began the day (and year) by hitting new record highs, stocks sold off throughout the day.  The market will be watching the Senate runoff races in Georgia closely as a sweep by the democrat candidates would result in democrat controlled White House, Senate and House of Representatives.  Perhaps not surprisingly, 30-day implied volatility spiked in both the E-mini Nasdaq-100 and S&P 500 options markets.  The volatility curve in the E-mini S&P 500 options would suggest the market is indeed pricing a fair amount of price volatility into the election results based on the relatively high vols in this week’s Wednesday and Friday expirations.

Precious metals futures prices were active today as well as Gold futures prices were up by nearly 3% to 1,946 per ounce and Silver prices were up by close to 4%.  Volatility in the options market of both metals increased and the Calls were bid versus the Puts. 

So, I think it’s safe to say that we’re hitting the ground running in 2021!

ABOUT THE AUTHOR

Craig Bewick has spent 25 years in futures and options markets, starting at CBOT and CME working in risk management, regulatory, technology, product management and client development. 

After 8.5 years with WH Trading LLC, Craig returned to CME Group as the Director, Client Development and Sales, working to educate and promote futures trading. Craig currently writes for InFocus Options Corner.

Connect with Craig at activetrader@cmegroup.com

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