A relatively quieter day greeted the second week of 2021 as stock indexes were mostly lower but, generally, by less than 1% from Friday’s close (though the Nasdaq was down by over 1%). 30-day implied volatility increased in CME Group equity index option as the E-mini S&P 500 rose from 17% to 19% and the Nasdaq-100 from about 23.75% to 26.1% so it does seem that the options market may be beginning to price in some potential price movement. CME Group commodity markets saw relatively less price volatility than was typical last week though Silver futures prices were up by over 1% and Copper prices were down by 3%. The US Dollar gained versus most major currencies again today.
Bitcoin futures prices, after a “parabolic” rally over the last several weeks, declined by about 18% from Friday’s close to about 32,335. Somewhat interestingly, implied volatility in the options market actually declined with the price break from about 154% to 130%, though obviously remains extremely elevated. The options skew shifted toward the Puts today as the volatility difference between 25 Delta Calls and Puts moved from the Calls trading 34% over the Puts on Friday to 29% today. Today’s price and volatility decline is illustrated well in the QuikStrike graph below. Remember, CME Group offers both Bitcoin futures and options for trading on its Globex match engine; today, over 27,000 Bitcoin futures contracts traded.