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