Week In Review

By Craig Bewick
NOV 19 2021

It was a tale of two stock indexes this week as the S&P 500 and Nasdaq both traded higher while the Dow and Russell 2000 lost ground, as of mid-day trading.  Specifically,

  • E-mini S&P 500 futures price +1%; implied volatility increased 12.5% to 12.8%
  • E-mini Nasdaq-100 futures price +2%; implied volatility declined from 17.8% to 17.2%
  • E-mini Dow futures price -1%; implied volatility rose from 13.4% to 13.8%
  • E-mini Russell 2000 futures price -2%; implied volatility rose from 19.4% to 21.3%

Again, this snapshot was taken during early afternoon trading, so a late-week rally or price break could change some of these numbers.

On the week, the Micro Yield prices moved as follows:

  • 2 Year +1 basis point
  • 5 Year -3 basis points
  • 10 Year -4 basis points
  • 30 Year -5 basis points

And finally, WTI Crude Oil futures prices declined by about 5% on the week and implied volatility jumped from about 33% to nearly 37% today.

We’ve included and excerpt from the QuikStrike “Week in Options” tool below.  As you can see, it provides a comprehensive view of options activity over a given time period (in this case, a week) in a particular product (in this case, E-mini S&P 500 options).

Have a great weekend and we’ll be back on Monday and Tuesday to report on CME Group markets but will not be publishing a newsletter on Wednesday nor Friday around the Thanksgiving Holiday in the US. 

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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