Volatility Returns

By Craig Bewick
MAY 19 2021

If it was volatility you were looking for, it was volatility you got.. at least for today anyway.  From Cryptocurrencies to Ags to Interest Rates, most CME Group asset classes saw outsized price moves relative to the last couple of months today.  Some examples include:

  • Bitcoin (and Micro Bitcoin) futures traded in a range of over 13,000, and were down about 9% from yesterday’s close in late afternoon action.  Ether futures traded in a range of over 6,000 and were down about 13% at the time we are writing the current column.  30-day volatility in the Bitcoin options is trading near 115%
  • E-mini S&P futures traded in a near 70 point range and implied volatility rose from about 17% to 18%.  E-mini Nasdaq-100 futures traded in a near 290 point range and implied volatility rose to about 24.2%.
  • WTI Crude Oil futures prices were down about 3.5% and implied volatility has risen to 36% from about 33% in the last few days.
  • Wheat and Soybean futures prices were both down by about 2%. 
  • US Treasury prices fell (yields rose) after the minutes to last month’s FOMC minutes were released though volatility remains near the lower end of the three month range. 
  • Gold futures prices traded as high as 1,890 when Equities and Cryptocurrencies were near the day’s low levels before trading back down to about 1,870 in late afternoon action. 

Gold has steadily rallied off of relatively low levels and is up by about 11% since the end of March.  Implied volatility in the Gold options markets, while still low relative to the last six months, has increased from about 11.5% at the end of April to about 14.5% today. 

Finally, as regular readers of In FOCUS know, CME Group grains markets have been particularly active this spring.  We’d like to make sure all of our readers are aware of a webinar CME Group is hosting with Blue Ocean Trading Services on June 2, 2021.  Please use this link to register 

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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