Implied Volatility - 6 Different Markets

By Craig Bewick
NOV 16 2021

It was a relatively quiet day in many of CME’s financial and commodity products with Equity prices up modestly, WTI Crude Oil futures prices near steady, Gold prices down by about .75% and US Treasury prices little changed.  Natural Gas futures prices rose by about 3.3% and continue to trade at historically high levels. 

We thought it would be a good opportunity to take a more comprehensive view of CME products through the eyes of the options markets.  Using QuikStrike data, we graphed the current implied volatility levels in one product from each of CME’s six major asset classes against the prior 4 years.  In the graphs below, current implied volatility is denoted by the dotted red line with days until the option expiration plotted on the horizontal axis. 

As you can see, in the E-mini Nasdaq-100 and WTI Crude Oil options markets, implied volatility is currently near the middle of where it’s been in the years since 2017.  However,  in the other four markets, implied volatility is near the upper range of where it’s been at this time of year.  So, even on seemingly quieter days like today, implied volatility remains elevated in some of CME’s major products relative to the last few years. 


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. 

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