US Equity Indexes struggled to find direction today as the market awaited the results of the Senate runoff races in Georgia that will determine the balance of power in Congress. A rally later in the day helped the major indexes close positive while volatility declined slightly.
Commodity markets at CME Group were particularly active today with significant price and volatility moves including:
Bitcoin futures prices rallied again and 30-day implied volatility remains elevated at over 120%.
Finally, yesterday we mentioned that, according to the volatility curve in the E-mini S&P 500 options, the market was pricing in a fairly substantial potential move in the equity indexes due to the Senate races in Georgia. The image below, from the CME Group “Event Volatility Calculator”, shows that the options market is pricing in an approximate 30.5 point move in either direction as a result of the election. This tool uses the term structure of volatility to try to isolate the price move in the futures that the options market is anticipating as a result of different economic releases or macroeconomic events.