US Equities slid today with the Nasdaq leading the losses, down nearly 2% though the small-cap Russell 2000 managed to finish near steady. It was a bit of a “risk-off” feeling today as Gold and US Treasury futures prices both rose; the Ultra T-Bond future was up nearly 2.5 points. Silver futures, which we’ve talked about here quite a bit lately, did give back a little bit and the Puts were slightly bid versus Calls but the Calls are still trading at historically high levels against the Puts.
With today’s price break in equities, we saw implied volatility rise in all four major indexes though in the Dow, S&P 500 and Russell 2000, it remains below the 3-month, one standard deviation move. In the Nasdaq-100, on the other hand, 30-day vol remains above the 3-month average closing level. Remember, a couple of weeks ago, we talked about the fact that, even as the price level of the E-mini Nasdaq-100 was rising, implied volatility remained stubbornly high. Further, as you can see in the QuikStrike graph below, Puts were bid relative to Calls with today’s price break as Put sellers continue to command relatively more premium against further downside price moves.