That wraps a fairly quiet week despite all of the uncertainty that we’ve talked about here in the Key Takeaways section. Perhaps the most significant moves we saw were in the long end of the Treasury curve which, although lower today, saw rising yields this week. WTI Crude Oil futures prices moved lower this week as volatility in those options rose while Soybean futures prices continued to rise.
As the US Presidential election draws near, we’re keeping our eye on the options market to see what it might be indicating. The CME Group Event Volatility calculator which seeks to isolate the impact that economic releases and different events might have on the price of futures by examining the term structure of volatility in the options markets. Based on the volatility of the November 4th expiration in the E-mini (and Micro) S&P 500 options and surrounding expirations, the options market is pricing in an approximately 100 point move in either direction based on the election. The QuikStrike graph below of the volatility term structure in the E-mini S&P 500 options shows a nice visual of the elevated volatility in the expirations immediately after the election. Today, CME Group launched an “Event Risk” (https://www.cmegroup.com/cme-group-futures-exchange/managing-event-risk.html) page that consolidates tools, information and other resources into a “one-stop shop” for our customers to research different economic and geo-political events.
Have a nice Fall weekend and we'll see you on Monday!