As we’ve discussed all week here in the Key Takeaways section, US Equity Indexes have seemed to weigh the positive vaccine news with the threat of stricter lockdowns this week. It seems the threat of additional restrictions influenced today’s price action as all major indexes declined and volatility in the Equity Index options markets rose.
Other CME Group markets seemed to take the same cues as US Treasury futures prices at the long end of the yield curve rallied sharply (lower yields) and Gold and Silver futures prices rose as well. WTI Crude Oil futures prices gave back some recent gains, down about 1%. Implied volatility in the US T-Bond options was little changed, though the out of the money Calls are trading as high relative to the Puts as they have in 3 months. The implied yield on the Ultra T-Bond fell by about 9 basis points today.
Despite the recent price action in the Gold futures market, the implied volatility in the options has continued to decline. In fact, as you can see in the QuikStrike graph below, 30-day implied in the Gold options, at about 16%, is well below a one standard deviation move relative to the last 3 months.