After yesterday’s sell-off, US stocks were broadly higher today as yields at the long end of the US Treasury curve came down a bit. Implied volatility CME Group’s equity options came down after yesterday’s spike but remains at the high end of a one-standard deviation move relative to the last six months.
Commodity markets at CME Group were active today as grains futures prices fell from recent highs after yesterday’s WASDE report release, WTI Crude Oil and RBOB Gasoline prices were down by over 3% and Copper prices fell by about 1%.
Cryptocurrency prices fell broadly today after Elon Musk tweeted last night that Tesla would no longer accept Bitcoin for Tesla purchases. Both Bitcoin and Ether futures prices at CME Group fell by about 10% from yesterday’s close. Remember, as of May 3rd, CME Group lists Micro Bitcoin futures which represent 1/10 of a Bitcoin. At today’s price, that represents notional value of about $4,900 of Bitcoin exposure. The Micro Bitcoin has gotten off to a great start in the first two weeks and, today alone, traded over 50,000 contracts. Implied Volatility in the Bitcoin options markets rose slightly and the Puts were bid slightly higher than the Calls today as you can see in the QuikStrike image below depicting six months of Risk Reversal (volatility of the 25 delta Calls minus that of the Puts) data.