At-a-Glance
Key Takeaways with Craig
Given the extraordinary volatility that characterized many financial and commodity markets in 2022, we thought we’d use the last Key Takeaways column of the year to put current implied volatility levels in some historical context. Using CVOL and QuikStrike data, we find that even though implied volatility is off of higher levels from earlier in the year, it remains above the average since October, 2018 (the date back to which we had access to CVOL data) in all but Metals and Ags markets.
Treasury CVOL: Current: 135 | Average: 87
FX CVOL: Current: 8.9 | Average: 8.2
Metals CVOL: Current: 16.5 | Average: 17.4
Energy CVOL: Current: 82 | Average: 55
Ags CVOL: Current: 20.3 | Average: 24.4
Nasdaq IV: Current: 26% | Average: 24%
As we’ve discussed in the past, one of the nice elements of CVOL is that it generates a volatility level for, not just individual products, but also baskets of related products as we used in today’s column. The aggregate CVOL indexes are comprised of the following:
Treasury CVOL: 2-Year, 5-Year, 10-Year, and 30-year CVOL Indexes
FX (G5) CVOL: EUR, GBP, JPY, AUD, and CAD CVOL Indexes
Metals CVOL: Gold, Silver and Copper CVOL Indexes
Energy CVOL: WTI Crude Oil, Henry Hub Natural Gas, RBOB Gasoline, and NY Harbor ULSD CVOL Indexes
Ags CVOL: Corn, Soybeans, Wheat, Soybean Oil, Soybean Meal, Lean Hogs, Live Cattle, and Class III Milk CVOL Indexes
And that will be a wrap on this year’s In FOCUS publication. We’d like to thank you for subscribing to our newsletter and hope you’ve enjoyed our coverage of CME markets during a year characterized by historically high volatility in many different asset classes. We’d also like to wish everyone a happy and healthy holiday season and we’ll be back after the New Year with a recap of 2022 and to see what 2023 has in store!
Todays Featured Videos
Today's Future Price Action
Traders Resources
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.
