At-a-Glance
Key Takeaways with Craig
US Equity prices were lower and implied volatility in the options markets increased today ahead of tomorrow’s CPI release. It was an otherwise fairly quiet day in CME Group markets as US Treasury yields were little changed, as was the price of WTI Crude Oil and Gold futures. CME Group grains markets were generally higher and Natural Gas futures were up by about 3%.
CME’s Event Volatility Calculator, which seeks to estimate the impact that an economic release like CPI might have on the price of futures using the term structure of volatility in the options market, is currently assigning at 224 point move in the price of E-mini Nasdaq-100 futures. The QuikStrike graph of the volatility curve in the options market illustrates the elevated level of volatility in the options that expire tomorrow quite nicely. Somewhat interestingly, using the 25 Delta Risk Reversal as a proxy for skew, Calls were bid slightly relative to Puts today.
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