Since today marks the end of the first quarter of 2021, we’ll split the Key Takeaways into two parts. First, we’ve recapped the price and volatility action from January 1st through today in products from all of CME Group’s major asset classes in the chart below using QuikStrike data.
And second, here is the answer to yesterday’s Question of the Day:
The answer to yesterday’s question is B. The key to this question was the positive vega value associated with a long straddle position (Vega is the expected move in the value of an option for every 1% point move in implied volatility). In fact, because we held the other elements that go into pricing an options contract constant (Time, Futures Price, Interest Rate), all you needed to look for was the answer that was higher than the original premium because the positive vega meant that the theoretical value would increase with an increase in volatility.