Key Takeaways with Craig
US Equity Index futures were lower overnight and stayed there throughout the day, although they closed off at the lowest levels. US Treasury yields experienced little change, although the US Dollar fell slightly against most major currencies in CME’s FX markets. Gold was up another ~1.25%, and although we haven’t written extensively about gold here in the Key Takeaways column lately, with today’s move, the futures price has, somewhat gradually, risen by about 10% since the first week in December. According to CVOL, volatility in the Gold Options markets has not risen extensively with the price rally, but they are trading with a slight Call skew.
Without any outsized vol movements today, we decided to take the opportunity to showcase some of the aggregate CVOL indexes from a historical perspective. In the charts below, we graphed the CVOL index level over the last year along with the average closing price over the same 12 months. As you can see, with the exception of the aggregate Ags CVOL index, all other asset classes are trading at vol levels right around the 1-year average which, as we’ve written about extensively, is still higher than the historical norms. In fact, if we compare the current CVOL level to the average closing level since Oct, 2018, we find the following:
- Treasury +57%
- G5 FX +19%
- Metals +3%
- Energy +35%
- Ags -21%
So, even though we’ve seen a slight decline in volatility levels to begin 2023 in some of our products, you can see that we remain in a historically high vol trading environment in many of our asset classes.
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