US Equities began the day mixed, with the Nasdaq underperforming the other major indexes, but turned largely positive after comments from Federal Reserve Chairman Jerome Powell that suggested he did not anticipate rate hikes before 2023. Implied volatility in CME Group’s equity index options markets declined and, with the 30-day implied trading at about 15%, is as low as we’ve seen it since the pandemic-induced volatility in the market one year ago this week.
The price of the US T-Bond future at CME Group ended the day slightly lower (higher yields) but off of the days lows after Chairman Powell’s comments. Implied volatility in the Bond Options markets fell substantially from about 12% to near 10%. The US Dollar fell versus most major currencies in CME Group’s FX markets.
We drew (“by hand”) a yellow line from the current 30-day implied volatility level in the E-mini S&P 500 options back to January, 2020 in the QuikStrike graph below. This is a nice illustration that implied volatility is now trading at levels we saw just prior to the spike in March of last year.