Key Takeaways With Craig

By Craig Bewick
JUL 31 2020

As the dust settles on a truly unique mid-summer month of July, we took a look back at where we were heading into the 4th of July holiday and where we are now in some of CME Group’s major products.  Using QuikStrike data, we put together the following chart summarizing Price, Volatility and Skew changes throughout the month.  Keep in mind, we put this together at about mid-day so some of the prices may have changed this afternoon.  Also, the “Risk Reversal” is defined by 25 Delta Call volatility minus 25 Delta Put volatility so an increase represents a bid in the Calls vs. Puts and vice versa.

Some highlights include:

  • While prices in both E-mini S&P 500 and Nasdaq-100 futures rose, implied volatility came down in the S&P 500 options but rose in the Nasdaq-100 options.  We wrote about this relationship throughout the month.
  • The Euro FX rose about 5% vs the US Dollar.  We didn’t cover this move a lot here in the Key Takeaways section throughout the month but will but a focus on it heading into August.  Interestingly, implied volatility in the options rose as well and the skew shifted toward the Calls.
  • Gold prices, which we wrote about extensively, were up 11% and volatility rose sharply.  We will continue to watch this along with the price action in Silver.

We hope everyone enjoys their weekends and we’ll see you for the beginning of August trading next week!

 

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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