Key Takeaways with Craig

US Stock prices rallied again today with all four major indexes logging gains of nearly 1%.  Implied volatility in CME’s Equity Index options came off again but just by a bit as earnings season continues to ramp up.  US Treasury yields were little changed again today. 

CME Energy products were active again today with WTI Crude Oil futures prices down by about 2.6% and Natural Gas prices down by another nearly 5%.  With today’s move, Natural Gas prices are down by a little over 12% since last Thursday.  WTI Crude Oil is down by about 10.5% since the first week of October and volatility has been falling since then with the CVOL index for WTI Crude Oil down to 51.8 from 58 at the beginning of the month.

Bitcoin futures prices have been uncharacteristically range-bound over the last several weeks and, by some measures, months.  Using QuikStrike at the money, 30-day volatility because CME does not publish the CVOL index for Bitcoin, we took a look at how current implied volatility levels compare to historical norms.  As you can see from the blue line in the graph below, Bitcoin vol is nearly as low as it’s been since we’ve been able to track it in early 2020.  Since then, the mean closing level has been 75%; today it is approaching 50%.  Further, looking at the Calls relative to Puts using the 25 Delta Risk Reversal, the Calls have not traded this high relative to the Puts (at least in the options trading at a 25 Delta) since early August.   

Today's Future Price Action

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