Key Takeaways with Craig
Almost all CME Group products reversed recent price trends today as US Equity Indexes rose while WTI Crude Oil, Gold and Grains futures prices fell. WTI Crude Oil prices fell by over 11% in the April contract expiration while implied volatility in the options fell but remains very elevated relative to the last three months. Also, WTI Crude Oil Call options continue to trade at a significantly higher vol than the Puts.
US Treasury yields rose again and implied volatility in CME’s 10-Year Treasury Options has fallen from about 9% to 7% in the last two trading sessions. CME Group’s FedWatch tool continues to price in a 25 basis point hike to the Fed Funds target rate at next week’s FOMC meeting. The same tool is suggesting a 66% chance for an additional 25 basis points and a 34% chance of an additional 50 basis points at the May 4th meeting.
Bitcoin futures prices rose sharply today, up by about 9% in the front month contract while implied volatility continued to rise in the options market. As you can see from the blue line in the QuikStrike graph below, 30-day implied volatility in Bitcoin options at CME is back around 75%. Since CME introduced Bitcoin options, they have often traded at higher implied volatilities than any other CME products. However, with the recent price moves, both WTI Crude Oil and Wheat 30-day implied volatility continue to trade at levels higher than Bitcoin, though both have come off of their highs. Remember, CME Group will be launching options on its Micro Ether and Micro Bitcoin contracts on March 28th giving market participants more ways to manage exposure to top Cryptocurrencies.
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