Active Markets During Thanksgiving Week

By Craig Bewick
NOV 23 2021

Today provided another lesson on why you can’t go to sleep on a holiday week as CME Group markets remained active.  US Equity Indexes were mixed with the E-mini Nasdaq-100 down again (though off of today’s low levels) and the E-mini S&P 500 and Dow prices higher.  Interest rates continued to move higher at the long end of the US Treasury yield curve and Gold futures prices were down another nearly 1%.  And, even as the White House announced that they’d release oil from the strategic reserves, WTI Crude Oil futures prices were up by about 2%.  Even though WTI Crude Oil futures prices rallied today, the skew remains toward the Puts as the 25 Delta Puts are trading at an implied volatility level approximately 6% higher than the calls, according to the risk reversal. 

The two graphs below illustrate the recent moves in the E-mini S&P 500 versus the Nasdaq-100 as interest rates have moved higher over the last couple of days.  As you can see, E-mini Nasaq-100 (lower graph) prices have fallen and implied volatility has risen relative to the S&P 500 (upper graph).  Over the last several months, the technology-heavy Nasdaq-100 has been more sensitive to interest rate moves and it would appear that trend has continued with this recent move in interest rates.

We will not be publishing In FOCUS tomorrow nor Friday around the Thanksgiving holiday so we wish all of our readers a Happy Thanksgiving and we’ll be back on Monday to report on what is shaping up as a potentially eventful last month of 2021 in the financial and commodity markets.




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. 

Connect with Craig at

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