Metals Were The Price Movers Today

By Craig Bewick
JUL 22 2020

US Equities were relatively directionless for most of the trading day and implied volatility in the options markets was similarly little changed.  Ultimately, the major indexes wound up higher, though by less than 1%. 

In other CME Group markets, WTI Crude Oil  was little changed on the day, US Treasury futures prices were higher on the long end of the curve (lower yields) and the US Dollar was mixed against other major currencies. 

Once again, metals were the big price movers today as Gold futures prices rose another 1.25%, Platinum was up nearly 4% and Silver another 7%!  Silver futures prices are now up over 25% since July 1st.  The Gold/Silver price ration that we graphed yesterday has now fallen to about 80 as price gains in Silver continue to outpace Gold.  At levels approaching 60%, 30-day implied volatility in silver options is the highest we’ve seen since late 2011, if we exclude the spike we saw in February and March of this year.  Historically, the skew stands out even more than the implied volatility levels;  as you can see in the graph below, powered by QuikStrike data, the 25 Delta Calls are trading nearly 14% higher than the Puts.  The graphs, which illustrates this relationship over the last 10 years does a nice job of showing just how much of an outlier this is. 


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. 

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