After a CPI report that indicated higher than expected inflation and the fastest rate in nearly 13 years was released, US Stocks were mostly lower though spent most of the day mixed and little changed. US Treasury prices at the longer end of the curve which have reacted to inflation numbers recently, didn’t really move that much on the CPI number. However, at around 12:00 PM Central Time, which happens to have corresponded with a 30-Year Bond auction which was reported to be “soft” the US T-Bond futures price fell by over a point over the next 30 minutes, indicating higher yields at the longer end of the US Treasury curve. The US Dollar gained versus most major currencies today.
In keeping with our WTI Crude Oil theme in recognition of the Micro WTI Crude Oil futures launch yesterday (which had traded over 23k contracts today at the time of this writing), we’ll showcase a QuikStrike tool called Vol2Vol. I like this tool because of the amount of information it depicts in one picture. First, the bell curve and associated lines directly above the graph, illustrate the 1, 2 and 3 standard deviation moves in the price of the underlying future based on the implied volatility in the options. In other words, the graph below suggests that within one standard deviation, we’d expect the future price to move 7.33 points in either direction between now and expiration. Additionally, the Blue and Yellow bars show the user the volume in Calls (blue) and Puts (yellow) on that day and the strikes in which the volume was transacted. For quick reference, it also includes the delta value of the options that were traded. Somewhat interestingly, the strike that saw the most volume (8,031) was the 90 Call which, as you can see at the top of the graph, trades at a delta below 5 (actually, clicking on the bar in the live graph brings up more information such as the fact that the actual delta is 4.6). The tool also summarizes the Call and Put volume at the top of the graph.