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!

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