Key Takeaways with Craig
US Equity Index prices finished lower today but, thanks to a late afternoon rally, were well off the day’s lowest levels. Somewhat interestingly, even though stock prices wound up lower on the day, implied volatility in CME Group’s Equity Index options continued to fall. Oftentimes, we see implied volatility rise with price break, but as you can see from the blue line in the QuikStrike image below, 30-day implied volatility in the E-mini Nasdaq-100 options fell from about 34.5% yesterday to about 32% today. Of course, it remains elevated relative to the last 3 months, but it is somewhat unusual to see the decline on a day during which prices fell.
WTI Crude Oil futures prices, after trading higher earlier in the day, were down by just under 3% (in the April contract) in late afternoon price action. Implied volatility continued to decline in the options market as well, though remains elevated at 73%. To put that in some historical perspective, the average closing level for 30-day implied volatility over the last 10 years is about 34%.
Finally, Gold futures prices were up by less than 1% and off of the higher prices we saw earlier in the day. We also saw implied volatility decline but, like many asset classes at CME Group, remains elevated relative to historical norms. To make the same comparison that we made in WTI Crude Oil, 30-day implied volatility in Gold options sis trading at about 23.5%; the 10 year average closing level is about 14.4%.
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