At-a-Glance

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

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.

© 2022 CME Group Inc. All rights reserved.