After another volatile trading day in the US Equity Indexes during which prices broke early in the day, recovered somewhat and broke again, they ultimately rallied later in the day to close slightly higher. Much attention seems focused on whether congress will vote to raise the US debt limit before October 18th, the day on which the Treasury Department says the US would no longer be able to meet its expenses. Implied volatility in CME’s Equity Index options markets was near steady on the day and remains elevated relative to the last three months.
Once again, Energy futures markets were active at CME, but in the other direction today. WTI Crude Oil futures prices fell by about 2.3% and Natural Gas prices declined by over 9%, giving back yesterday’s gains. The options action was somewhat interesting in that implied volatility in the Natural Gas options fell slightly, but the out of the money Calls continued to gain relative to the Puts. In the WTI Crude Oil, implied volatility rose with today’s price break.
In light of all the recent market movement in Equity and Energy markets, we haven’t paid as much attention to the cryptocurrency markets. One week ago, the price of Bitcoin futures settled at 41,155 according to QuikStrike data. At the time of this writing, Bitcoin futures were trading at 55,265; a weekly price increase of 34%. In the options market, Bitcoin implied volatility is trading right at the 3 month average and the out of the money Calls are trading just slightly higher than the Puts after trading below the Puts for most of September. We’ve included a 3-month graph of Bitcoin futures price (orange) and options volatility (blue) below.