Spotlight On Soy

By Craig Bewick
OCT 06 2020

US Equity Indexes were mostly higher in mid-afternoon trading… then a tweet from President Trump regarding stimulus negotiations instructing “(his) representatives to stop negotiating until after the election..” hit the wires.  Stock prices declined and volatility spiked as the major indexes closed between .3% and nearly 2% lower.  Implied volatility in the End of October options rallied from about 31% to 32.5% on the news.

Elsewhere at CME Group, we saw active price movement in several products:

  • Silver futures prices were down 4.5%
  • Gold futures prices were down 1.6%
  • WTI Crude Oil futures prices were up 2.4%
  • Soybean futures were up another 2.1%

The Soybean story is interesting.  As you can see in yellow line in the top QuikStrike graph below, implied volatility is among the lowest it’s been at this time in October in almost any year since 2013 while the price was only this high once (2013 – blue line).  However, as you can see in the lower graph (yellow line again), while at the money volatility remains relatively low, the Calls are trading higher relative to the Puts (according to the 25 Delta Risk Reversal) than they have in any year since 2013. 

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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