Key Takeaways with Craig

Even though Monday will mark the last day of trading in January, we thought it would be a good time to take a look at price and volatility over the first month of the year.  Keep in mind, to meet publishing deadlines, we compiled the chart below during early afternoon trading action so some of the prices may have changed during the last couple hours of trading.  The extraordinarily volatile markets to begin the year are reflected in the numbers in the chart below that was put together using QuikStrike data. 

  • Implied volatility (“vol”) jumped in almost all products.  Not surprisingly, Equity Index vol was up by nearly 90% but natural gas vol, which we haven’t covered extensively in the midst of the interest rate and equity moves, is up by over 50% on the year.  Much of that natural gas move has occurred in the last week, during which we saw prices rise by over 30%.
  • The yield on the Micro 10-Year Futures rose by about 17%.   As significantly, the yield on the Micro 2-Year Yield contract has risen by about 34 basis points.  The standard 2 Year Treasury (which are quoted in price, not yield) out of the money Calls are now trading at a higher vol than the out of the money Puts
  • WTI Crude Oil prices continue to climb; as does vol in the options
  • Gold has been particularly active lately, as reflected in the heightened vol in the options market
  • CME Grains markets have also risen in price over the first month of the year

So, as we look towards February, volatility certainly characterizes many of CME’s financial and commodity markets.  We wish all of our In FOCUS readers a safe and happy winter weekend, recharge,  and we’ll see you all on Monday!

Today's Future Price Action

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