US Equity Indexes fluctuated between positive and negative territory this afternoon after the FOMC announced its decision to keep the Fed Funds target rate between 0-25 basis points and as Fed Chairman Jerome Powell delivered his accompanying statement. During his statements, Chairman Powell did acknowledge that the US has begun to see signs of inflation but stated that Fed intervention was not necessary at this time. Ultimately, stocks wound up mostly lower and US Treasury futures prices were little changed on the day while implied volatility in the options markets in both remains low relative to recent levels.
Copper futures prices rose just slightly today, but over the last few months have rallied to price levels we haven’t seen since February, 2011, which you can see in the orange line in the top QuikStrike graph below that depicts price and volatility since August, 2008. The blue line in the top graph below depicts 30-day implied volatility in Copper options and shows that it is elevated compared to the levels we saw between 2018 and 2020. However, perhaps a clearer picture emerges when we compare the current implied volatility in the June contract (the green line in the lower graph) with about 27 days until expiration to June volatility with similar days until expiration in the years since 2015. As you can see, only last year did we see the June contract trading at a higher implied volatility at this time of year and that was toward the beginning of the COVID-19 pandemic when most asset classes were trading at highly elevated levels as the market tried to asses the implications of the economic shutdown in most countries around the globe.