Key Takeaways with Craig

The second trading day in February was similar to the first as US Equity Indexes continued to recover some of January’s losses, though the small-cap Russell 2000 index traded lower.  Implied volatility (“vol”) has continued to decline from the elevated levels we saw during January and that was associated with the extreme price volatility. 

Price action was fairly muted in many of CME Group’s other products although in the Foreign Currency futures, the US Dollar was lower against most major currencies and US Treasury yields fell slightly according to the Micro Treasury Yield futures. 

Natural Gas prices, of which we’ve spoken about recently, were an obvious exception.  March Natural Gas futures prices rose by over 14% today, reportedly on winter weather expectations throughout the country.  The yellow line in the top portion of the upper QuikStrike graph below shows March, 2022 (current) vol and the years between 2015 and 2021 in the other colors.  As you can clearly see, Nat Gas vol is trading higher at this point on the calendar than it has in any year since 2015.  The lower portion of the upper graph shows Nat Gas prices in the same context. 

In order to provide a different perspective, we used QuikStrike data to graph Bitcoin 30-day vol versus Natural Gas 30-day vol over the last year.  As you can see, with the recent increase Nat Gas is trading at a higher implied volatility than even Bitcoin.  

Today's Future Price Action

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