US Equity Index futures prices rose overnight and the cash equity market opened higher and pretty much stayed there throughout the trading day. Somewhat interestingly, implied volatility in the equity index options ticked down just slightly even with the broad stock market rally. Oftentimes, we see a larger sell-off in volatility accompany such broad stock market rallies. In other CME Group markets, Gold and Silver futures prices were both higher (silver by over 3%) as were implied yields on Treasury futures (prices were lower). Out of the money Calls in the silver options market were bid relative to the Puts and are not trading at a higher implied volatility level than the Puts.
With all of the upcoming, potentially market-moving news, it is hard to isolate the impact of particular events, but with Friday’s release of the September employment report, we used the Event Volatility Calculator, available on CME Group’s website, to look at the impact the options market is pricing in to that economic release. The calculator uses the term structure of volatility (different options expirations tend to trade at different implied volatility levels) to try to isolate the futures price move that the options market is pricing attributable to the employment report release. As you can see in the excerpt from the tool below, the options market is pricing in a 33 point move in the E-mini S&P 500 futures price in either direction; remember, implied volatility does not indicate the direction of a price move, just the magnitude.