Despite there being no lack of potential volatility-inducing news including the potential for increased lockdown measures in Britain, continuing debates over another Corona virus stimulus package and of course the looming US Presidential election, the markets were relatively quiet today. Due to scheduling conflicts this afternoon, we’re writing the Key Takeaways section a bit early, but at midday US Equity Indexes were mixed, CME Group Agricultural, Metals and Energy products were little changed and US Treasury prices were higher throughout the yield curve, indicating lower yields.
In the absence of major market price or volatility moves, we took the opportunity to showcase a QuikStrike tool called the “Cross Correlation” tool. However, while you oftentimes see correlation charts of price returns, today we’ll look at how different products are correlated with one another on an implied volatility basis. We found some interesting differences when comparing the past three months to the past 12 months. Specifically,
The image below is the correlation of implied volatility in some major CME Group products over the last 3-months.