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!

Today's Future Price Action

Traders Resources

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