Key Takeaways with Craig

I’m going to call that “going out like a lamb”, as we’ve wrapped up the 1st quarter, the month and the week with gains in equity index prices, decline in equity index option volatility and a year-to-date decline in Treasury yields.  With the quarter ending on a Friday, we’re going to give our readers a “3 for 1” deal today and recap the price and volatility changes for the year, month and week using QuikStrike and CVOL data in a format that should be familiar to regular In FOCUS readers. 

  • On the year, E-mini S&P 500 and Nasdaq-100 prices are up by about 7% and 21%, respectively after gains during March and this past week.  After declines in implied volatility (“vol”) in the options markets this week, vol is trading at or near 3-month lows in the options markets on both of those indexes. 
  • Despite a 9% rally this week, WTI Crude Oil futures prices are down about 6% on the year.  After a relatively big decline this week, and despite being up slightly during March, CVOL in WTI Crude Oil options is lower by about 8% on the year.
  • Gold futures prices and CVOL levels in the options are both up by about 9% on the year.  This comes even after a big decline in vol in Gold options this week.
  • After a big decline in CVOL levels this week, Euro FX vol is down by about 9% on the year.  The Euro FX futures price is near 1-month highs relative to the US Dollar.
  • After the dust has settled on an extraordinarily volatile quarter in the interest rates markets that saw a daily move in a SOFR expiration month of 100 basis points a few weeks ago, the Micro 10-Year futures yield is down by about 9.5% and CVOL in the 10-Year yield, while off its highs, is up by about 21%.  CVOL in the 2-Year yield remains elevated as well, though off of the highest levels we’d seen since we started measuring it.  The magnitude of the Micro 2-Year vs Micro 10-Year inversion began and ended the quarter at about -50 basis points but got as large as -100 basis points less than a month ago on March 8th
  • On the year, Soybean vol is down while Corn is higher according to the CVOL levels.  Both are down substantially today after the release of the USDA Prospective Plantings report.
  • After elevated prices in 2022, Nat Gas futures prices are down a full 50% in the first quarter while the CVOL level is little changed since the end of 2022.  However, the CVOL level gained about 23% in March after declines earlier in the year. 
  • Finally, the price of Bitcoin futures has seen a massive rally of about 73% this year and volatility in the Bitcoin options is higher. 

So that’s where we stand after another volatile first quarter of the year.  Have a fun and safe weekend and we’ll be back on Monday to see what the second quarter brings!

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