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.
Todays Featured Videos
Today's Future Price Action
The information in the market commentaries have been obtained from sources believed to be reliable, but we do not guarantee its accuracy and expressly disclaim all liability. Neither the information nor any opinions expressed therein constitutes a solicitation of the purchase or sale of any futures or options contracts. The information on this site compiled by CME Group is for general purposes only. All information and data herein is provided as-is. Additionally, all examples on this site are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or the results of actual market experience. CME Group assumes no responsibility for any errors or omissions. CME Group, its affiliates and any third party information and content providers expressly disclaim all liability with respect to the information and data contained herein including without limitation, any liability with respect to the accuracy or completeness of any data. You use the data herein solely at your own risk. All data and information provided herein is not intended for trading purposes or for trading advice. All matters pertaining to rules and specifications herein are made subject to and superseded by official CME, CBOT, NYMEX and COMEX rules. Current rules should be consulted in all cases concerning contract specifications.
Neither futures trading nor swaps trading are suitable for all investors, and each involves the risk of loss. Due to the leveraged nature of futures trading and swaps trading, it is possible to lose more than the amount deposited in a position. Therefore, traders should not deposit more funds than they can afford to lose without negatively affecting their lifestyles. A trader cannot expect to profit on each trade, and should only devote a small amount of their available funds to each trade. All references to options refer to options on futures.
Past performance is not necessarily indicative of future performance.
CME Group, the Globe Logo, Chicago Mercantile Exchange, Globex and CME are trademarks of Chicago Mercantile Exchange Inc. CBOT is the trademark of the Board of Trade of the City of Chicago, Inc. NYMEX is the trademark of the New York Mercantile Exchange, Inc. COMEX is a trademark of Commodity Exchange, Inc. All other marks are the property of their respective owners. Each of Chicago Mercantile Exchange Inc. (ARBN 103 432 391), The Board of Trade of the City of Chicago Inc (ARBN 110 594 459), the New York Mercantile Exchange Inc (ARBN 113 929 436) and Commodity Exchange, Inc. (ARBN 622 016 193) is a registered foreign company in Australia and holds an Australian market licence.
This site does not constitute a prospectus, product disclosure statement or legal advice, nor is it a recommendation to buy, sell or retain any specific investment or to utilise or refrain from utilising any particular service. Readers should consult their legal advisors for legal advice in connection with the matters covered on this site.