Key Takeaways with Craig

US Equity Index futures prices were higher overnight and the cash equity markets opened higher, but, as of early afternoon action, all four major US Indexes were trading slightly lower.  According to CME Micro Treasury Yield futures, treasury yields were little changed on the day, though the 30-Year was down by about 5 basis points. 

Other notable price moves in CME markets include Natural Gas futures, which were down by about 4%, Silver futures, down by about 1.5% and Copper futures were up by about 1%.

In the absence of major price or volatility moves today, we thought we’d take a look at current volatility levels relative to the last 12 months using CVOL data.  The five graphs below use CVOL data to illustrate the vol levels in Treasuries, Ags, Energies, Metals and FX options markets.  Remember, one of the valuable elements of CVOL is that it calculates broader based volatility indexes (as shown below) in addition to volatility indexes for specific, individual products.  Comparing the current CVOL levels to the average closing level over the last 12 months we find:

  • Energy:  Current 65.8     | 1-Year Average Closing Level 74.8          | Current vs Average -12%
  • Metals:  Current 16.6     | 1-Year Average Closing Level 19.2          | Current vs Average -14%
  • Treasury:  Current 125   | 1-Year Average Closing Level 141           | Current vs Average -11%
  • FX:  Current 9.44              | 1-Year Average Closing Level 10.9         | Current vs Average -13%
  • Ags:  Current 18.5            | 1-Year Average Closing Level 28.4         | Current vs Average -35%

As you can see, after a particularly volatile year in 2022, vol levels, though perhaps still elevated relative to historical norms in some cases, are down versus the last 12 months.  

Today's Future Price Action

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