Key Takeaways with Craig
It was another relatively quiet day in CME’s markets as equity prices were mostly higher and treasury yields were nearly unchanged as we head into the last trading day of the week, month and quarter. Implied volatility in CME’s Equity Index options continued to decline with 30-day vol in both the E-mini S&P 500 and Nasdaq-100 trading at below a one standard deviation move relative to the last 6 months. Treasury implied volatility continues to decline as well, particularly in the 2-Year yield, where the CVOL level has come down by about 27% since last Friday (though we did see all-time CVOL highs recently in that product).
Gold futures prices continue to trade near the $2,000 per ounce level and the CVOL level in those options remains elevated while the US Dollar was lower versus most major currencies in CME’s FX futures markets. Natural Gas futures prices at CME were down by about 3% today and are trading near 1-year lows and the CVOL level in those options is trading relatively high versus the last 3 months.
Finally, we’ll leave you with one final look at Corn and Soybean CVOL levels before tomorrow’s Prospective Plantings USDA report. As you can see, volatility remains elevated in the options markets in both grains. In the Corn options markets, the New Crop options that expire tomorrow are trading at an implied volatility of 74%; up from about 59% yesterday. The Old Crop options that expire tomorrow are trading at an implied vol of about 64%; up from about 51% yesterday.
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