Volatility Returns

By Craig Bewick
JUL 08 2021

US Equity prices and Treasury yields declined today as volatility continued to re-enter financial markets.  The price action of these two asset classes suggests that the market has become more concerned with economic growth than inflation.. at least for today.  30-Day implied volatility in both the E-mini S&P 500 and Nasdaq-100 options markets is now trading above the 6 month closing average.  In the Nasdaq-100, this represents an increase from about 16% to nearly 20% in the last week.  WTI Crude Oil futures prices rose by about 1% after declining over the last couple of days as OPEC has still not reached an agreement. 

With today’s rally in the price of the US Bond futures, the implied yield is now 1.56% which is down about 20 basis points just from last Thursday.  Implied volatility in the Treasury options markets has continued to rise as the 30-day volatility in the US Bond options is up to about 9.3%.  As you can see in the QuikStrike graph below, if we look at the August US Bond options expiry with 15 days until expiration going back to 2016, implied volatility is currently as high as it’s been in any year except 2016 (as indicated by the gray line). 



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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