US Equity indexes spent most of the day trading nearly unchanged from yesterday’s levels as the market awaits a couple of big developments; the release of the July employment report by the Department of Labor tomorrow morning and a potential agreement from Capitol Hill on another coronavirus relief package.
News from other CME Group markets include:
Given tomorrow’s Jobs number that we referenced earlier, we took a look at the CME Group Event Volatility Calculator available on its website to get an idea of what kind of move the options market was pricing in to the futures price. This tool uses the term structure of volatility (different options expirations tend to have different implied volatility levels) to try to isolate the impact that the options market is pricing into the futures price, of a given economic release (like the jobs number). As you can see in the image below, the E-mini Nasdaq-100 options market is currently pricing in a futures price move of about 40 points in either direction from the Jobs number release. Remember, implied volatility provides no information regarding the direction of a potential price move; simply the magnitude that the options market is pricing.