Key Takeaways with Craig

US Equity Index prices finished lower today but, thanks to a late afternoon rally, were well off the day’s lowest levels.  Somewhat interestingly, even though stock prices wound up lower on the day, implied volatility in CME Group’s Equity Index options continued to fall.  Oftentimes, we see implied volatility rise with price break, but as you can see from the blue line in the QuikStrike image below, 30-day implied volatility in the E-mini Nasdaq-100 options fell from about 34.5% yesterday to about 32% today.  Of course, it remains elevated relative to the last 3 months, but it is somewhat unusual to see the decline on a day during which prices fell.

WTI Crude Oil futures prices, after trading higher earlier in the day, were down by just under 3% (in the April contract) in late afternoon price action.  Implied volatility continued to decline in the options market as well, though remains elevated at 73%.  To put that in some historical perspective, the average closing level for 30-day implied volatility over the last 10 years is about 34%. 

Finally, Gold futures prices were up by less than 1% and off of the higher prices we saw earlier in the day.  We also saw implied volatility decline but, like many asset classes at CME Group, remains elevated relative to historical norms.   To make the same comparison that we made in WTI Crude Oil, 30-day implied volatility in Gold options sis trading at about 23.5%; the 10 year average closing level is about 14.4%.  

US Equity Prices rose again today while Treasury yields were little changed as we head into the last trading day before the unofficial start to summer, at least here in the US.  Due to the Memorial Day Holiday on Monday, we will not be publishing In FOCUS tomorrow so we’ve decided to do our “Week in Review” a day early.  Finally, we can report that US Equity Indexes, at least with one trading day left, are positive on the week!  Some highlights include:

  • Both E-mini S&P 500 and Nasdaq-100 were up by about 4% and volatility came down
  • WTI Crude Oil prices rose by about 3% but implied volatility dropped from about 50% to about 45%
  • 10-Year Yields declined slightly while implied volatility in the options dropped
  • Natural Gas prices, as has been well-documented here in the Key Takeaways section, rose by another 9% and continues to trade at a higher implied volatility than the cryptocurrency options at CME.

We wish all of our In FOCUS readers a happy, healthy and safe Holiday weekend and we’ll see you back here in Tuesday.  

Today's Future Price Action

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