Key Takeaways with Craig
US Equity prices fell today as we head into the last couple weeks of the year. However, even with the E-mini Nasdaq-100 down by about 1.5% and the E-mini S&P 500 down by about 1% in mid-afternoon trading, implied volatility in the E-mini S&P 500 options was down slightly and that in the E-mini Nasdaq-100 options was near steady on the day. US Treasury yields rose today with the Micro 2-Year yield futures up by about 6.5 basis points and the Micro 10-Year yield up by about 10, slightly narrowing the amount by which the 2s and 10s are inverted.
CME Energy markets were active again today as WTI Crude Oil futures prices were up by nearly 2% while Natural Gas futures prices fell by nearly 11%. We used CVOL data to take a look at the Nat Gas options markets in the graphs below. As you can see in the top graph, which depicts the Nat Gas CVOL level (red line) and Skew (yellow line) while both have come down recently, they remain elevated, even relative to a year characterized by high volatility. The Skew, which measures the value of the Calls relative to the Puts has been well above zero all year long, indicating a skew to the Calls. For reference sake, we included the futures price of Natural Gas in the bottom graph which shows that, while it still remains elevated relative to historical norms, it has come well off the highs we saw earlier in the year.
Todays Featured Videos
Today's Future Price Action
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.