Key Takeaways with Craig
US Equity prices rose, Treasury yields fell slightly, Gold rallied and the US Dollar fell against most major currencies as US citizens headed out to the polls for the mid-term elections today. Perhaps not surprisingly, with the potential impact that the results of the election could have on financial and commodity markets, implied volatility traded higher in CME’s Equity Index options markets. However, somewhat interestingly, implied volatility in the E-mini S&P 500 options that expire on Thursday afternoon actually spiked higher than those that expire tomorrow as you can see on the data point on the blue line in the QuikStrike graph below labeled E2DX2.
Gold futures prices were up by about 2% on the day. According to the CVOL intra-day chart, the futures price and options volatility (CVOL) both spiked higher at about 9:30 this morning as did the options skew toward the Calls.
In CME’s Energy markets, WTI Crude Oil prices were down by about 2% and Natural Gas prices fell by over 10% on the day. Again using CVOL as an indicator, volatility in the Nat Gas options was lower to begin the day but steadily rose to end near yesterday’s closing levels.
We’ll see you all tomorrow when we hopefully have some clarity on the results of the US mid-terms.
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