US Equity prices rallied today, largely making up yesterday’s losses, despite a rise in longer term US Treasury rates. All four major US Equity indexes were higher, with the Nasdaq leading gainers (after leading the losses yesterday) and the 10 and 30 Year Micro Treasury Yield contracts were both up by nearly 5 basis points. Remember, because each basis point move in the new Micro Yield contracts represents $10, today’s price move represents approximately $50 per one lot.
At the risk of sounding repetitive, energy prices rose again today with WTI Crude Oil up another 2% and Natural Gas up another 9%. Even though we’ve featured it prominently here in the Key Takeaways section over the last few months, it would be difficult to overstate the current price and volatility levels in CME’s Natural Gas futures and options.
The two graphs below, built using QuikStrike data, depict November Natural Gas implied volatility (upper graph) and price (lower graph). The dotted red line represents the current (2021) levels in both (days until expiration for each year are represented on the horizontal axis). As you can clearly see, both implied volatility (at 112%) and price (at 6.295) are far higher than they were at this time in each year since 2011 (even with the elevated implied vol we saw last year of near 90%).