Key Takeaways with Craig
US Equities prices fell, as did WTI Crude Oil futures prices (by about 2%) while US Treasury yields were little changed. Unsurprisingly, volatility remains elevated in virtually all of CME Group’s major asset classes. For example, the current 30-Day implied volatility and 6 month average implied volatility are detailed here:
- E-mini S&P 500: Current 26.1% | 6mo Average 17%
- E-mini Nasdaq 100: Current 30.6% | 6mo Average 21.8%
- Gold: Current 20.6% | 6mo Average 13.8%
- WTI Crude Oil: Current 74.8% | 6mo Average 39.1%
- Wheat: Current 137% | 6mo Average 29.7%
- 10-Year Treasury: Current 7.8% | 6mo Average 4.9%
- Euro Fx: Current 9.5% |6mo Average 5.9%
As you can see, there really isn’t an asset class that is not impacted by the current uncertainty in the markets. Seemingly overshadowed by other headlines, we’ll get another reading on the health of the economy tomorrow morning in the form of February’s employment report. While we do observe a slight elevation in implied volatility in the E-mini S&P 500 options that expire tomorrow relative to the options that expire next Monday (as you can see in the blue line in the QuikStrike graph below), it’s harder to attribute this to any one event this month with all of the different headlines the market is currently facing.
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