Commodity Prices Rally And Answer To Friday's Question

By Craig Bewick
JUN 01 2021

On the first unofficial trading day of summer, US Equity prices started higher but finished near steady on the day.  However, before we get into the recap, we wanted to answer the Question of the Day we posed on Friday. 

The correct answer to Friday’s question was C; the average difference in price was +2% and the average difference in implied volatility was +20%.  At first, the positive correlation and the disparity between the two was surprising to me.  However, because we were simply picking a point in time, the implied volatility average was skewed by a couple of years when we saw greatly increased volatility on that particular Friday.  As we’ve pointed out here in the Key Takeaways section regularly, implied volatility conditions in markets can change in both directions rather quickly so it could just be that we caught a couple of Fridays on which volatility had spiked that year which, in turn, skewed the average. 

Earlier in the trading day, the US T-Bond futures price was down by about a full point but rallied to trade down less than half a point by the end of the day.  Energy and Agricultural futures prices were more active.  Some of the bigger price moves included:

  • Corn futures price up by over 4.5%
  • Wheat futures price up by about 4.25%
  • Soybean futures price up by 1%
  • WTI Crude Oil futures price up by 2.5%
  • Natural Gas futures price up by 4.25%

With today’s rally in Natural Gas prices, the July contract is trading at a higher price at this time of year than in any year since 2015, as you can see from the bright green line in the bottom part of the QuikStrike graph below.  And while implied volatility is not trading at relatively high levels, the Calls are currently trading as high relative to the Puts than they have in any year except for 2017. 


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. 

Connect with Craig at

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