Key Takeaways with Craig

As we’ve been saying all month, if it’s volatility you were looking for, the beginning of 2022 isn’t disappointing.  CME Group financial and commodity markets traded in very large price ranges today.  US Equities sold off sharply earlier in the day with the E-mini Nasdaq-100 futures price falling nearly 5% before recovering in the last hour of trading.  Ultimately, the major US stock indexes staged an astounding rally in the last 15 minutes of cash market trading to finish broadly higher.  Some examples of the wide Low to High price ranges we saw today include:

  • E-mini Nasdaq-100:  Low 13,706.00 | High 14,582.00
  • E-mini S&P 500:  Low 4212.75 | High 4,427.50
  • Micro 10-Year Yield:  Low 1.709 | High 1.783
  • Micro Bitcoin Future:  Low 32,845 | High 36,920
  • WTI Crude Oil Futures:  Low 81.90 | High 86.09

Not surprisingly, given the magnitude of the late-day rally, we also saw massive ranges in implied volatility and skew measure in CME’s Equity Index options.  As you can see in the upper QuikStrike graph below, the March E-mini Nasdaq-100 options (that expire in 52 days) implied volatility rose as high as 38% before falling back to (a still elevated) about 30% late in the day.  Similarly, early in the day, the Puts were bid up versus Calls.  As you can see in the bottom graph, the 25 Delta Puts were trading nearly 13% over the Calls in late morning trade; at the close the Puts were trading about 11.2% over the Calls.  So, while there is certainly still a Put skew and elevated overall implied volatility, we did see both somewhat revert from earlier levels. 

So, as we continue with the last full week of trading in January and all of the economic, geo-political, FOMC meeting and earnings headlines we expect, we’ll be here reporting on CME Group futures and options activity.  

Today's Future Price Action

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