Equity Volatility Rises

By Craig Bewick
MAR 03 2021

Once again, US Equities struggled to find a definitive direction and ultimately wound up lower with the Nadsaq leading the losses, down by over 2.5%.  Perhaps some of the negative price sentiment in stocks was due to prices at the long end of the Treasury curve which were down, indicating higher yields.  Not surprisingly, E-mini Nasdaq-100 options volatility rose sharply and is trading near recent highs again.  Interestingly, the Event Volatility Calculator, which we discussed yesterday, was showing a 173 point move in the E-mini Nasdaq-100 futures price attributable to the release of the February employment report this Friday.  Today it is showing a nearly 268 point move.  Perhaps the release of the ADP Payrolls report this morning, that came in short of expectations in terms of new job growth, has added some uncertainty to Friday’s release.  Regardless of the reason, we thought it was a good opportunity to showcase the same QuikStrike graph of the term structure of volatility that we did yesterday, which clearly shows an increase in the volatility in the options expiring this Friday versus those further out. 

In other CME Group markets, WIT Crude Oil futures prices were up by over 2.5%, Gold futures prices were down by over 1%. Platinum down by 3% and most Grains futures prices were mostly lower. 

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. 

Connect with Craig at activetrader@cmegroup.com

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