Key Takeaways with Craig

US Equity prices fell to close out the week, a day after they staged a dramatic intraday reversal to close sharply higher.  If one were to just look at the net price changes on the week in the chart we compiled below, it might look like a relatively quiet week but those involved in the financial and commodity markets this week know it was anything but. 

As we often do, we put together the chart using price and volatility data from QuikStrike and CME CVOL.  Earlier in the week we re-introduced CME’s proprietary volatility indexes, ‘CVOL’ and we’ll begin using those values where appropriate because we think they are a very representative measure of volatility in those products.  So, in the chart below, we’ve used the weekly change in the CVOL level in the products for which CME publishes it instead of the at-the-money, 30-day implied volatility that we have used historically.  Some highlights:

  • E-mini Nasdaq-100 futures price was down by about 3% and volatility in both the E-mini S&P 500 and Nasdaq-100 rose on the week
  • WTI Crude Oil futures prices were lower by 8% (down nearly 4% today) on the week, while vol was near steady
  • Gold futures prices fell while volatility climbed
  • Once again, Treasury yields were front and center with the Micro 10-Year Yield rising about 13 basis points while volatility continued to move higher.  We included a “bonus” picture below – an excerpt from the CVOL tool that illustrates volatility in the 10-Year options is trading nearly as high as we’ve seen it since 2014, save for the spike that resulted from the initial COVID-19 lockdowns in early 2019. 
  • Volatility in CME grains options came off sharply

So as we move into the second half of October, volatility persists in most of CME’s major asset classes.  Have a wonderful weekend and we’ll see you on Monday.  

Today's Future Price Action

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