Key Takeaways with Craig

US Equity prices continued to slide and Treasury yields continued to rise to begin 2022.  Earlier in the trading session, the Nasdaq and Russell 2000 indexes led the losses, down by about 1% and 1.5% respectively.  Implied volatility (“vol”) in all four major indexes rose in CME options markets but most notably in the E-mini Nasdaq-100 where at the money, 30-day vol had risen from 17.3% to 24% since the close one week ago on January 3rd.   However, after a late-day price rally, the Nasdaq was trading higher on the day and implied volatility had ticked down to 22%. 

In the US Treasury markets, the Micro 2 and 5-Year Treasury Yield futures rose by about 3 basis points while the longer term 10 and 30-Year contracts were near steady on the day. 

Looking at the upcoming week, we’ll get new inflation readings on Wednesday with the release of the CPI and on Thursday with the PPI.  Once again, these reports are not lost on the options markets as we see elevated implied volatility in the Wednesday and Friday expirations relative to more deferred expirations in both the Equity and Interest Rates markets at CME. 

Natural Gas futures prices were up by about 4% today, presumably on forecasts of colder weather in January (those in Chicago today would understand..).  However, as you can see in the yellow line in the QuikStrike graph below, after last year’s historically high implied volatility levels,  current February vol has normalized relative to February vol at this time of the year since 2015.  

Today's Future Price Action

Traders Resources

The information in the market commentaries have been obtained from sources believed to be reliable, but we do not guarantee its accuracy and expressly disclaim all liability. Neither the information nor any opinions expressed therein constitutes a solicitation of the purchase or sale of any futures or options contracts. The information on this site compiled by CME Group is for general purposes only. All information and data herein is provided as-is. Additionally, all examples on this site are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or the results of actual market experience. CME Group assumes no responsibility for any errors or omissions. CME Group, its affiliates and any third party information and content providers expressly disclaim all liability with respect to the information and data contained herein including without limitation, any liability with respect to the accuracy or completeness of any data. You use the data herein solely at your own risk. All data and information provided herein is not intended for trading purposes or for trading advice. All matters pertaining to rules and specifications herein are made subject to and superseded by official CME, CBOT, NYMEX and COMEX rules. Current rules should be consulted in all cases concerning contract specifications.

Neither futures trading nor swaps trading are suitable for all investors, and each involves the risk of loss. Due to the leveraged nature of futures trading and swaps trading, it is possible to lose more than the amount deposited in a position. Therefore, traders should not deposit more funds than they can afford to lose without negatively affecting their lifestyles. A trader cannot expect to profit on each trade, and should only devote a small amount of their available funds to each trade. All references to options refer to options on futures.

Past performance is not necessarily indicative of future performance.

CME Group, the Globe Logo, Chicago Mercantile Exchange, Globex and CME are trademarks of Chicago Mercantile Exchange Inc. CBOT is the trademark of the Board of Trade of the City of Chicago, Inc. NYMEX is the trademark of the New York Mercantile Exchange, Inc. COMEX is a trademark of Commodity Exchange, Inc. All other marks are the property of their respective owners. Each of Chicago Mercantile Exchange Inc. (ARBN 103 432 391), The Board of Trade of the City of Chicago Inc (ARBN 110 594 459), the New York Mercantile Exchange Inc (ARBN 113 929 436) and Commodity Exchange, Inc. (ARBN 622 016 193) is a registered foreign company in Australia and holds an Australian market licence.

This site does not constitute a prospectus, product disclosure statement or legal advice, nor is it a recommendation to buy, sell or retain any specific investment or to utilise or refrain from utilising any particular service. Readers should consult their legal advisors for legal advice in connection with the matters covered on this site.

CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). 
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

© 2024 CME Group Inc. All rights reserved.