As opposed to last week when the US Stock market seemed to hang on to every word regarding the Coronavirus stimulus package negotiations, today “it” didn’t seem to care as US Equity Indexes screamed higher, led by the Nasdaq which was up by over 3%. With today’s price move, the E-mini (and Micro E-mini) Nasdaq-100 futures price is up by about 8% in just about a week. We do find it a bit interesting that the implied volatility in the E-mini (and Micro E-mini) Nasdaq-100 options is actually slightly higher today than Friday’s close. We’re not reading too much into this as volatility has come down substantially in the last week (as you can see in the QuikStrike graph below), but oftentimes, a decline in volatility accompanies such a sharp stock market price rally like we saw today.
A couple of CME Group commodity markets were active today, notably WTI Crude Oil futures which were lower by about 2.5% and Soybean futures prices which were down by nearly 3%. Neither saw significant moves in volatility in the options market though, relative to the last 3 months, implied volatility remains elevated in the Soybeans options.