There certainly hasn’t been a shortage of activity in the news cycle since the US Presidential election. We took the opportunity to examine the price and volatility action in some of CME Group’s largest products since just before the election. The chart below shows Price, Implied Volatility and Skew changes since October 30th. As you can see, the one element they all have in common is a substantial decline in implied volatility over the last couple of weeks. This was probably somewhat expected as the uncertainty of the election diminished, although the extent to which we might see further economic restriction to due increasing Coronavirus cases remains unclear. (in order to meet publishing deadlines, the chart was created during mid-afternoon trading)
As always, we hope our In FOCUS readers have a safe and happy Fall weekend and we’ll see you Monday!