US Equities struggled to find direction today and ultimately wound up mixed, though the small-cap Russell 2000 was down by over 2%. Implied volatility rose in the options markets in all four major US Equity Indexes at CME Group as follows (all represent 30-Day Implied Volatility):
Implied volatility in the E-mini Russell 2000 options is trading near the upper end of a one standard deviation move over the last 3 months. The three other indexes are trading near the lower end of a one-standard deviation move.
In other markets, US Treasury futures prices were lower, indicating higher yields. At the time of this writing the US T-Bond futures contract was down by nearly one point which contributes to a nearly 10 basis point rise in implied yield since last Thursday. CME Group metals futures prices were mostly lower with Gold and Silver prices down about 1.4% and 1.9% respectively, Palladium futures prices down by nearly 6% and Copper down by about 1%.
Finally, Bitcoin futures prices were up by nearly 8% and approaching all-time highs again. Interestingly, implied volatility has fallen to levels that we last saw last December, around the time that the price of Bitcoin began it rally from about 20,000 to its current price near 60,000. Bitcoin futures price and options implied volatility are illustrated in the QuikStrike graph below.
Remember to look out tomorrow for March’s second Question of the Day.
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 activetrader@cmegroup.com