US Equity prices fluctuated near the open of the cash equity market but were trading broadly higher in mid-afternoon trading. Implied volatility in CME Group’s Equity Index options markets declined today and was trading near the average closing level over the last 6 months in the E-mini S&P 500 options. Treasury Yields rebounded a bit today as well as the Micro 10 and 30 Year Treasury Yield futures prices were both slightly higher; the 10 Year by about 2.9 basis points and the 30-Year by about 2.6 basis points at the time of this writing.
It seems it wouldn’t be a Key Takeaways column without mentioning Natural Gas futures these days, which was up another 3.5% in mid-afternoon action, but trading off of the day’s earlier high levels. November Natural Gas implied volatility continued to rise with the at-the-money strike trading at about 75% today. Also, as we looked at yesterday, in the out of the money options (25 Delta), the Calls were trading 10% over the puts (80% versus 70%).
And speaking of Energy futures, WTI Crude Oil futures prices rose another 3% today with the November expiration trading near 72.50 per barrel. Putting that in historical context, we used QuikStrike data to create the two graphs below. The top graph depicts November WTI Crude Oil prices currently (the dotted red line) and versus the years since 2012 with days to expiration on the horizontal axis. As you can see, November WTI Crude Oil is trading near the average of where it’s been at this time of year over the past nine years (we plotted the average with a dotted black line). Similarly, Implied Volatility is plotted on the lower graph and is also trading right at the average level.