Welcome back to trading on a cold and rainy day that felt more Fall than Summer here in Chicago. Historically, September has been the worst performing month in the US Stock Market and so far, this year has not deviated. All major US Equity Indexes were lower again today and, like the end of last week, Technology stocks and the Nasdaq led the losses. The volatility didn’t end with Equities though – some other notable moves in CME Group products include:
Somewhat interestingly, as the E-mini Nasdaq-100 futures price declined by over 3% and 30-Day implied volatility rose to almost 40%, the Calls actually ticked up versus the Puts today. In the Top QuikStrike graph below, we depict the price and volatility action and in the Bottom, we show the slight uptick in Calls relative to Puts by way of the 25-Delta Risk Reversal.