Showcasing Cme Group Cvol

By Craig Bewick
APR 27 2021

Due to scheduling conflicts, we’re writing the Key Takeaways section a little early today and, as of about midday, CME Group commodity and financial markets are quiet with respect to price action.  In a week during which there are no shortage of potentially market moving events (continuing earnings from some of the world’s largest companies, FOMC meeting etc), Tuesday greets us with relatively muted price changes. 

So, since we’re not in the business of trying to make up a story where there isn’t one, we’ll take the opportunity to:

  1. Remind all of our readers that the Micro Bitcoin futures contract will launch this Sunday evening.  The contract will represent 1/10 of a Bitcoin, or approximately $5,500 of notional Bitcoin exposure at today’s prices. 
  2. Showcase the relatively new CVOL index that we’ve talked about here in the Key Takeaways on a couple occasions. 

The CVOL indexes are proprietary volatility indexes that CME Group has developed to provide a representative, simple measure of volatility in most of its major asset classes.  The CVOL indexes use a simple variance method across an array of different strike prices in a particular option to derive, in some cases, a more representative measure of implied volatility than simply using the At the Money or specific delta strike. 

The screenshot below is of the “dashboard” view of the tool and most of the different products and metrics are “clickable” links that will take the user to more detailed information.  However, even in the high-level dashboard view, there is a lot of available information.  As you can see, we selected a timeframe of 6 months.  The column labeled "HI-LO CVOL" shows the Low to High range in volatility over the last 6 months and, as you can see, in many CME Group asset classes, volatility is trading near the very low levels of that range.  A notable exception, which shouldn’t be surprising to regular “Key Takeaways” readers, is that the agricultural products are trading near the high end of that volatility range over the last 6 months.  We encourage all of our readers to learn more about these innovative new indexes at www.cmegroup.com/cvol

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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