At-a-Glance
Key Takeaways with Craig
US Equities rallied again today as we begin another week full of corporate earnings and Thursday’s release of US GDP. Perhaps in part due to the news scheduled to be released this week, despite the nearly 2% price rally in CME’s E-mini Nasdaq-100, implied volatility (“vol”) in CME’s options markets increased. The blue line in the QuikStrike graph below represents the current vol in the E-mini Nasdaq-100 options beginning with tomorrow’s expiration and the orange line represents Friday’s settlement values. As you can see, throughout the vol curve over the next four weeks, volatility has moved higher, and especially in the near-dated options.
In other CME markets, WTI Crude Oil futures prices were little changed but Natural Gas was up by over 8%. The CVOL level in Nat Gas declined from 109.5 to 95.9 while the aggregate Energy CVOL declined from near 73 to about 66.
US Treasury yields were slightly higher from 2s through 30s and the US Dollar was little changed relative to other major currencies in CME’s FX markets. Finally, CME grains futures prices were mostly lower while the aggregate agricultural CVOL index traded higher.
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