Key Takeaways with Craig
US Equity Indexes sold off in historic fashion today as the Dow Jones Industrials were down slightly less than 4% while the S&P 500 and Nasdaq-100 were both down by over 4%. Not surprisingly, implied volatility in CME’s Equity Index options spiked with the price sell-off.
With so much price movement in many of CME’s major products lately, we used QuikStrike data to put the current implied volatility levels in historical perspective in one product from each of CME’s 6 major asset classes in the graphs below. As you can see from the dotted red line that represents current implied volatility, in the E-mini Nasdaq-100, Euro FX, 10-Year Treasury Note and Corn, implied volatility is currently as high, at this time of year, as it’s been since at least 2016. In WTI Crude Oil and Gold options, implied volatility was only this high in May, 2020 during the initial stages of the COVID-19 pandemic.
So, as we’ve been saying, seemingly since the beginning of the year, volatility continues to characterize many of CME’s major products and we’ll be here reporting on them all the while.
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