As we’ve written about here in the Key Takeaways section, as recently as yesterday, we’ve seen the sharp price rally in the CME Group Equity Index prices, particularly the Nasdaq-100, accompanied by a corresponding increase in implied volatility in the associated options. Today, we saw implied volatility spike even higher as all major US Stock index prices fell by between 3% and over 6% in the Nasdaq. The reaction in options skew was somewhat muted as out of the money Calls and Puts were trading near the same level, relative to one another, as they were yesterday. Sometimes, we see Puts bid versus the Calls when the index price drops like it has today.
As we look to tomorrow’s Department of Labor report on August employment, the E-mini Nasdaq-100 at-the-money straddle that expires tomorrow was trading at about 238.75 points in mid-afternoon action. Remember, the equivalent dollar amount in the E-mini Nasdaq-100 options is $4,775 and in the new Micro E-mini Nasdaq-100 option is $477.50.
Elsewhere at CME Group, WTI Crude Oil futures prices fell again, Gold prices were near steady while Silver prices declined and US Treasury futures prices were higher throughout the yield curve, indicating lower yields.
We’ve included a similar QuikStrike graph to the one we ran yesterday; 6 months of Price and 30-Day Implied Volatility in the E-mini Nasdaq-100. As you can see in the Blue line, implied volatility has risen from the very bottom of a 1-standard deviation move to just about the top in the last week.
In observance of the Labor Day holiday for those of us here in the US, we will not be publishing In FOCUS on Monday and will bring you an early edition tomorrow. Have a great night and we’ll see what the August Jobs number brings the markets tomorrow!