Quikstrike Vol2vol - Nasdaq-100 Options

By Craig Bewick
SEP 10 2020

Yesterday we said that the markets looked like a mirror image of Tuesday; today, the markets looked like a mirror image of yesterday as stock prices fell, Treasury futures prices rose and WTI Crude Oil futures prices declined.  Gold and Silver futures prices were near steady on the day. 

Implied volatility in the options markets ticked higher in E-mini S&P 500 and Nasdaq-100 and WTI Crude Oil but declined slightly in the US T-Bond.  As we pointed out yesterday, the Puts have been bid relative to the Calls lately in WTI Crude Oil options and that trend continued today as the 25 Delta Puts are now trading at an implied volatility 16.6% higher than the Calls. 

We’ll leave our readers today with an excerpt from the QuikStrike Vol 2 Vol tool for the September E-mini Nasdaq-100 which depicts the range, in standard deviation terms, that the option market is pricing in for the futures price between now and expiration.  The highlighted box in the image shows that, within a 1-standard deviation confidence interval, the options market is pricing in a move of just over 600 points in either direction. 

The other nice element in this tool is that it graphically depicts the day’s volume in Calls and Puts. For example, the yellow line is pointing to the 11,000 Put that traded nearly 1,900 contracts.   The 11,000 Put, with a Delta value of about .37, was trading at about 171.5 points or $3,430 just before 3:00 PM Central Time today.  In other words, a buyer of that option would spend over $3,400 to purchase an option that is if we use the definition of Delta of “the % likelihood that an option will expire in the money” is priced with a 37% chance of expiring in the money.  However, if a trader could get the same price in the new Micro E-mini Nasdaq-100 11,000 Put (there is no guarantee that the markets in the Micro options will match the E-mini options, but CME Group has market makers in both products), the premium associated with the smaller contract would be about $343 dollars (1/10 the size). 


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. 

After 8.5 years with WH Trading LLC, Craig returned to CME Group as the Director, Client Development and Sales, working to educate and promote futures trading. Craig currently writes for InFocus Options Corner.

Connect with Craig at activetrader@cmegroup.com

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