Key Takeaways with Craig
US Equity prices were choppy at the beginning of the trading day, briefly turning negative, after a negative Q1 GDP reading, but rallied sharply throughout the day to end higher by between close to 2% to over 3%. We’re not going to speculate on what drove the price rally here in the Key Takeaways section but the equity index options markets at CME took note as implied volatility fell but remains well above the 3 month average closing levels.
It feels like it might go without saying, but energy markets remained volatile at CME. WTI Crude Oil futures prices were up by about 3.25% and Natural Gas prices, which have been particularly volatile, were down by about 5.5%. Despite the continuing price moves in WTI Crude Oil, the implied volatility in the options markets has been relatively steady, ranging from about 50% to about 53% over the last couple of weeks (30-day volatility). This is high relative to historical norms, but much lower than the spike we saw in March.
Natural Gas implied volatility remains elevated relative to historical norms. To put it in perspective, using QuikStrike data, we graphed the 30-day implied volatility in both Natural Gas and Bitcoin over the last 12 months. The volatility of bitcoin (and cryptocurrency in general) has been fairly well-documented but, as you can see in the orange line, the implied volatility of Nat Gas has traded higher than that of Bitcoin for most of April and remains so today.
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