March Price And Volatility

By Craig Bewick
MAR 12 2021

Believe it or not, we’re just about halfway through the final month of Q1 2021 already.  With all of the action in several different asset classes so far this month, we thought it would be a good time to look at month to date price and volatility in the same format we often do here in In FOCUS.  The following products continue to grab the headlines:

  • US Bond futures price down another 4+ points.  This translates into an increase in implied yield from 1.852% to 2.034% in the first two weeks of the month.  The increase in yields at the longer end of the US Treasury curve seems to be driving action in several asset classes.
  • E-mini Nasdaq-100 prices were down slightly while E-mini S&P 500 prices rose as the market weighs the impact of potentially rising interest rates, “re-opening”, stimulus and other factors on different industries.
  • It is somewhat interesting that, even with all of the daily price movement, implied volatility in the options markets is down in almost every product we looked at.
  • It sounds a bit like a broken record, but Bitcoin futures prices continue to rise.

We wish all of our In FOCUS readers a nice weekend and we’ll see you on Monday.

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. 

Connect with Craig at activetrader@cmegroup.com

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