Key Takeaways with Craig
CME Equity Index futures were lower overnight and continued lower throughout the day, closing near the day’s lowest levels. With today’s price moves, the major US indexes are at recent lows and, perhaps unsurprisingly, implied volatility is at recent highs. Somewhat interestingly though, is that implied volatility in the out of the money Calls rose slightly more than the Puts today. This is illustrated in the QuikStrike graph of the E-mini Nasdaq-100 Risk Reversal below. Oftentimes, when we see stocks sell off, we see the Puts bid relative to the Calls, though the skew remains toward the Puts.
Other notable moves in CME Group products included:
- WTI Crude Oil futures prices that were down nearly 6.5% today and Natural Gas prices down nearly 12%
- CME Grains futures prices were lower across the board
- Gold futures prices were lower by over 1.5%
- Micro Treasury Futures yields were lower and the curve continued to steepen as the 2-Year was down by more than the 10s and 30s
- The sell-off in cryptocurrencies continued as Bitcoin futures were trading below 31,500
So, as we move into the middle of May, volatility continues to define commodity and financial markets at CME Group.
And as a final note, if any of our In FOCUS readers happen to be at the Moneyshow conference in Las Vegas this week, we’ll be presenting a case study on options volatility and skew at 2:30 PM tomorrow so please stop by!
Todays Featured Videos
Today's Future Price Action
The information in the market commentaries have been obtained from sources believed to be reliable, but we do not guarantee its accuracy and expressly disclaim all liability. Neither the information nor any opinions expressed therein constitutes a solicitation of the purchase or sale of any futures or options contracts. The information on this site compiled by CME Group is for general purposes only. All information and data herein is provided as-is. Additionally, all examples on this site are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or the results of actual market experience. CME Group assumes no responsibility for any errors or omissions. CME Group, its affiliates and any third party information and content providers expressly disclaim all liability with respect to the information and data contained herein including without limitation, any liability with respect to the accuracy or completeness of any data. You use the data herein solely at your own risk. All data and information provided herein is not intended for trading purposes or for trading advice. All matters pertaining to rules and specifications herein are made subject to and superseded by official CME, CBOT, NYMEX and COMEX rules. Current rules should be consulted in all cases concerning contract specifications.
Neither futures trading nor swaps trading are suitable for all investors, and each involves the risk of loss. Due to the leveraged nature of futures trading and swaps trading, it is possible to lose more than the amount deposited in a position. Therefore, traders should not deposit more funds than they can afford to lose without negatively affecting their lifestyles. A trader cannot expect to profit on each trade, and should only devote a small amount of their available funds to each trade. All references to options refer to options on futures.
Past performance is not necessarily indicative of future performance.
CME Group, the Globe Logo, Chicago Mercantile Exchange, Globex and CME are trademarks of Chicago Mercantile Exchange Inc. CBOT is the trademark of the Board of Trade of the City of Chicago, Inc. NYMEX is the trademark of the New York Mercantile Exchange, Inc. COMEX is a trademark of Commodity Exchange, Inc. All other marks are the property of their respective owners. Each of Chicago Mercantile Exchange Inc. (ARBN 103 432 391), The Board of Trade of the City of Chicago Inc (ARBN 110 594 459), the New York Mercantile Exchange Inc (ARBN 113 929 436) and Commodity Exchange, Inc. (ARBN 622 016 193) is a registered foreign company in Australia and holds an Australian market licence.
This site does not constitute a prospectus, product disclosure statement or legal advice, nor is it a recommendation to buy, sell or retain any specific investment or to utilise or refrain from utilising any particular service. Readers should consult their legal advisors for legal advice in connection with the matters covered on this site.