US Equity prices declined to begin the first full week of October trading with the Nasdaq leading losses, down by over 2% today. Not surprisingly, implied volatility in CME Group’s Equity Index options markets rose with today’s price break. The E-mini Nasdaq-100 futures price fell to levels last seen in June of this year and 30-day implied volatility in the options rallied to about 24.5%; the last time we saw vol that high was around the middle of May. US Treasury yields rose slightly earlier in the day (the Nasdaq has been more sensitive to higher interest rates than the other equity indexes lately) and the Micro 10-Year Yield contract traded over 1.52 but was back under 1.50 at the time of this writing.
Energy markets at CME were active again today with WTI Crude Oil prices up about 2.5% and Natural Gas prices up about 3%. The price rally in crude oil comes as OPEC reported that it would maintain its current output policy and is now trading at near 7-year high levels. The top QuikStrike graph depicts price (orange) and implied volatility (blue) in WTI Crude Oil over the last 12 months and is a nice illustration of the significant price rally. The lower graph shows the 25 Delta Risk Reversal (Call volatility minus Put volatility) and shows that Calls are trading at an implied almost as high as Puts for the first time in a year.