Once again, US Equities were a bit directionless today, ultimately closing higher. Implied volatility in the E-mini S&P 500 options rose slightly even as the price level of the index was up a bit as well. Perhaps an indication of all of the different factors the market has to consider these days, not the least of which is tomorrow’s report on September employment in the US.
WTI Crude Oil futures prices were down another 4% while Gold and Silver futures prices rallied and US Treasury futures were little changed. With today’s price move in WTI Crude Oil futures, 30-day implied volatility in the options markets spiked from 39% to over 46% according to QuikStrike and the 25 Delta Puts are trading at an implied 15% higher than the Calls.
Checking in again on the CME Group Event Volatility Calculator which uses the term structure of volatility to try to estimate the impact that certain events and economic releases might have on the price of the underlying futures, we find that the options market is pricing in a 45 point move in the E-mini S&P 500 in either direction based on the jobs report release tomorrow. We’ve included the excerpt from CME Group’s tool below.