Key Takeaways with Craig

What a difference a year makes… as we head into the Thanksgiving holiday here in the US, we thought it was a good reason to look back at where we’ve come since the Tuesday before last Thanksgiving.  Using QuikStrike and CVOL data, we checked in on the price and implied volatility changes in some of CME’s major products in a format that will be familiar to regular In FOCUS readers.  Some things have really changed…

  • Implied volatility is not higher in all of the products we looked at, but in some of them, it has increased by extraordinary levels. 
  • US Equity Index futures prices are lower with the E-mini Nasdaq-100 down by nearly 30% over the last year.  Implied volatility is up markedly, even though it has come off of higher levels we saw earlier in the year.
  • WTI Crude Oil prices are only down by about 4% from last year but, as has been well-publicized, are also off of higher levels.  According to CME’s CVOL, implied volatility is up by nearly 40% in WTI Crude Oil options. 
  • The Euro FX is lower by about 9% relative to the US Dollar.  Again using CVOL as a measure, implied volatility is up by 60%.
  • The Micro 10-Year Treasury yield is up by over 125% since last year and the CVOL Index is up by 75%.  As we’ve written about extensively here in the Key Takeaways column, the yield curve between the 2 and 10 Years is inverted by about as much as it has been in decades.  The lower graphic shows the yield curve from last year at this time and currently, using the Micro Treasury Yield futures as a proxy. 
  • Natural Gas prices are up by 48% over last year and the CVOL index remains extremely elevated.
  • Finally, Bitcoin futures prices are down by over 73%.

So as we move into the sometimes quieter holiday weeks, many of CME’s financial and commodity markets seem anything but quiet. 

We wish all of our In FOCUS readers a happy and healthy holiday season.  We’ll be back on Monday to report on our markets down the home stretch of 2022.  

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