Key Takeaways with Craig
US Equity prices came screaming out of the gate to begin the second half of October with the Nasdaq leading gains, up by over 3.25% in late afternoon action. Implied volatility in CME Equity Index options came down but just by a little and the skew in the Nasdaq-100 options shifted slightly towards the Puts. Oftentimes, we see a bigger decline in overall vol and we see the Calls bid versus the Puts when prices rally like they did today but we are heading into earnings season.
Natural Gas futures prices fell by over 7% today and are trading at lows we haven’t seen since early July. The CVOL (CME’s proprietary volatility index) level dropped from 103 to 98 in Natural Gas options and the skew shifted toward the Puts, down from 45 to 40.
CME FX futures prices also saw notable moves today as most major currencies gained relative to the US Dollar. British Pound futures prices rose by over 1.5% as the government modified its previously announced tax cut plans. The CVOL index on British Pound options declined from 19.7 at Friday’s close to about 17.3 today after the announcement was made. We’ve included an excerpt from the CVOL tool below that details the intraday volatility (solid line) and price in CME’s British Pound contract.
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