Commodities Rally

By Craig Bewick
JAN 05 2021

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:

  • Soybean futures prices up nearly 3%; 30-day implied from 29.1% to 32.1%
  • WTI Crude Oil futures up nearly 5%; 25 Delta Calls trading as high relative to Puts as they have since this time one year ago
  • Natural Gas futures up nearly 5%
  • Silver futures prices up about 1.5%; 30-day implied up to 48%

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. 

ABOUT THE AUTHOR

Craig Bewick has spent 25 years in futures and options markets, starting at CBOT and CME working in risk management, regulatory, technology, product management and client development. 

After 8.5 years with WH Trading LLC, Craig returned to CME Group as the Director, Client Development and Sales, working to educate and promote futures trading. Craig currently writes for InFocus Options Corner.

Connect with Craig at activetrader@cmegroup.com

Back to top

STAY IN THE KNOW

Get the latest updates with InFOCUS.
Futures & Options trends and insights for active traders.