At-a-Glance

Key Takeaways with Craig

After another extremely volatile day in financial and commodity markets, Equity Index prices wound up lower, Treasury Yields were higher (prices lower), the price of Gold jumped by about 3% and WTI Crude Oil rose by another 4.5% with the front futures contract trading at close to $125 per barrel. 

We’ve talked a lot about the elevated implied volatility in many of CME Group’s asset classes, but we’ve also seen dramatic moves in the options skew.  Using the 25 Delta Risk Reversal as a measure of skew, we created the following graphs using QuikStrike data.  As you can see, each of these six CME products from different asset classes has seen a significant move in the price of Calls versus Puts.  In some products, such as Gold, the price of the Calls has increased relative to Puts while in other, like E-mini Nasdaq-100, the Puts have been bid relative to Calls.  As a reminder, the Risk Reversal is simply the implied volatility of the 25 Delta Call minus that of the 25 Delta Put.  Therefore, a positive number indicates that the Calls are trading at a higher vol than the Puts and vice versa.   

Today's Future Price Action

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