Daily Price And Volatility Recap

By Craig Bewick
SEP 21 2020

As we prepare for the official first day of Autumn tomorrow (at least for those of us in the Northern Hemisphere), US Equity Indexes fell, but a late day rally led to closing levels well off the day’s lows and the Nasdaq-100 actually managed to close in positive territory.  Not surprisingly, volatility in the Equity Index options markets rose with today’s price break. Stocks weren’t the only asset class moving at CME Group today though.  A recap of today’s price and volatility moves in some of CME Group’s major products include:

  • WTI Crude Oil futures price declined by over 4% and 30-day implied volatility rose from 35% to 42%.  Out of the money Puts were bid over Calls as measured by the Risk Reversal
  • Gold futures price declined by 2.5% and implied volatility rose from about 16% to 18%
  • Silver futures price declined by over 9% and volatility spiked from 35% to 42%
  • Soybean futures price declined by about 2% and in the last two days, volatility has risen from 16% to 24%.  25 Delta  Calls are trading at an implied 6% higher than the Puts. 
  • Corn futures prices fell by 3%, as did implied volatility (24% to 21%)

We’ll leave you with a QuikStrike picture of price and volatility in the Silver markets which shows the steep decline in price and spike in volatility though implied volatility still remains below it’s 3-month average closing level. 

ABOUT THE AUTHOR

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. 

After 8.5 years with WH Trading LLC, Craig returned to CME Group as the Director, Client Development and Sales, working to educate and promote futures trading. Craig currently writes for InFocus Options Corner.

Connect with Craig at activetrader@cmegroup.com

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