Volatility Returns

By Craig Bewick
SEP 08 2020

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:

  • Implied Volatility in the US T-Bond options market on 9/1 was 8.1%; today it traded up to 9.2%
  • WTI Crude Oil futures price was near 43 on 9/1; today it traded down to about 37
  • WTI Crude Oil implied volatility was trading around 28.5% on 9/1; today it was trading at about 51%
  • Puts in WTI Crude Oil have been bid substantially over Calls in the last week
  • Implied Volatility in Silver and Gold options is trading right around the 3 month average

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. 

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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