At-a-Glance
Key Takeaways with Craig
US Equity prices managed small gains and US Treasury yields were near steady during another relatively quiet day in CME’s financial markets. It took until the third week in August, but this week finally “feels” like one of those traditional, slow summer months.
Perhaps the most notable move in CME’s major products came in the WTI Crude Oil futures which were up another nearly 3% and are trading back over $90 per barrel. While the price of oil and gasoline has been the subject of much media attention for months, we wanted to take a look at how the current October WTI Crude Oil futures price and options implied volatility compares to historical levels. Using QuikStrike data, we graphed the October WTI Crude price from each year since 2010 with days to expiration on the horizontal axis. As you can see, the price was higher in 2012, 2013 and 2014 than it is currently (current price is denoted by the dotted red line).
However, even though implied volatility has come off of earlier high levels, the lower graph shows that, only in 2011, was implied volatility as high as it currently is.
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