Key Takeaways with Craig
After another day of wild price swings, US Equity indexes wound up little changed on the day. Implied volatility in CME’s Equity Options was little changed on the day though in the E-mini S&P 500 options, the Calls were bid versus the Puts again today.
In other CME Group markets, WTI Crude Oil futures prices rose again, as did Natural Gas futures, both by about 1%.
Gold futures prices continued to fall, down by about 1.7% today and are now down by 8% in the last few weeks. Implied volatility has risen back to about the 3-month average level but, the skew has shifted toward the Puts. As you can see in the QuikStrike graph of the Risk Reversal below, 25 Delta Puts are trading at a lower implied than Calls for the first time in the last three months.
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