Key Takeaways with Craig

US Equity prices fell sharply as the balance of power in the US Congress remains in question with some congressional races still too close to call.  In addition to the mid-term results, the market will be watching tomorrow’s release of the October CPI number tomorrow morning closely for the latest read on inflation in the United States.  While we realize we’ve featured the volatility curve in CME’s Equity Index options prominently lately here in the Key Takeaways column, we also think it has provided a nice lesson on how implied volatility works around significant economic events and number releases.  As you can see in the QuikStrike volatility curve graphs of the E-mini Nasdaq-100 (top) and E-mini S&P 500 (bottom), current implied volatility (blue line) has risen from yesterday’s settle (orange line) in the options that expire tomorrow and Friday afternoon, but remained near steady in the more deferred options.  A nice illustration of the effect that major economic events can have on the price of options.

CME Energy markets remained active as well with both WTI Crude Oil and Natural Gas prices dropping by over 3.5%.  According to CME’s CVOL indexes, implied volatility in WTI Crude Oil options has fallen with the price break, but Puts are trading as high relative to Calls as they have since about mid-September. 

So, even though the polls are closed, seems we still have as many questions as answers. We’ll be back tomorrow reporting on the impact of the CPI and any elections results on CME markets.  

Today's Future Price Action

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