It was a relatively quiet day in CME Group’s financial and commodity markets as the US Equity markets spent most of the day in positive territory, US Treasury futures prices fell slightly (higher yields), WTI Crude Oil futures prices were higher by about 2.5% and Gold and Silver prices were little changed. Implied volatility in the Equity Index options markets continued to trade lower, perhaps most notably in the E-mini S&P 500 options which traded from 24.75% on 9/10 to 20.9% today.
We used QuikStrike data to graph the last six months of 30-Day implied volatility for the E-mini S&P 500, Dow Jones and Nasdaq-100 options markets. It’s interesting to note the diversion in implied volatility in the three indexes from the extraordinarily high levels we saw in the middle of March. You can see the Nasdaq-100 implied volatility fall more quickly from the high levels than the Russell 2000 (in theory, the small-cap Russell 2000 companies could be relatively more impacted by economic shutdowns) but with the recent price moves in the Nasdaq-100, volatility is actually trading higher than the Russell 2000 currently.