US Equity Index prices were higher this morning but sold off around mid-day and wound up broadly lower on the day. Implied volatility in CME’s Equity Index options markets was near steady from yesterday’s level and is trading near the average closing level over the last year. According to the Micro Treasury Yield futures prices, yields at the short end of the yield curve increased slightly more than they did at the long end. The 2-Year Yield was up by about 3 basis points and the 5-Year was up by about 4.5 while the 30-Year was up by less than one basis point. As we’ve talked about in the Key Takeaways column, this represents a slight flattening of the US yield curve.
WTI Crude Oil futures prices continue to rise and the November expiration was trading at over $80/barrel today, its highest level in almost 7 years. The top QuikStrike graph below shows the price (orange) and implied volatility in the WTI Crude Oil options over the last year. It provides a nice graphical illustration of the doubling in price that we’ve seen in 12 months. While 30-day implied volatility is trading near the average closing level over the last year, the Calls are trading just about as high relative to the Puts as we’ve seen them as you can see in the lower QuikStrike graph of the 25 Delta Risk Reversal.