Key Takeaways with Craig

Well that wraps another week full of financial, cryptocurrency and political headlines and as the dust settles, some of CME’s markets saw fairly substantial net price and vol changes while others were near steady on the week.  We wrote today’s column with about an hour left in the cash equity trading day, but as the week nears the end, here’s how some of the major products at CME fared on the week.  Using QuikStrike data to construct the chart below, we find:

  • Equity Indexes were near steady on the week.  Implied volatility in the E-mini S&P 500 fell while that in the Nasdaq-100 was nearly unchanged.  The trend we’ve written about this week that saw the skew shift toward the Calls in the E-mini S&P 500 options continued as the 25 Delta Calls with 30 days until expiration were trading at an implied volatility only 1.6% lower than the Puts. 
  • WTI Crude Oil futures continued to decline and were trading below $80 per barrel today.  According to CME’s CVOL, implied volatility in the options increased.
  • US Treasury Yields were little changed but volatility in the options markets increased.  The Micro 2-Year Treasury continues to yield about 65 basis points more than the Micro 10-Year. 
  • Amidst all the cryptocurrency headlines, Bitcoin futures prices were slightly higher and volatility in the options declined from the elevated levels we saw last Friday. 

That’s where we stand as we head into the Thanksgiving Holiday-shortened week here in the United States.  Have a happy and safe November weekend and we’ll see you on Monday.  

Today's Future Price Action

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