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:
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.