Key Takeaways with Craig
Well that was quite a week in the financial and commodity markets! If there were ever a week that warranted a recap, this was one of them. So, after the dust has settled, below are the price and volatility changes in some of CME’s major products:
- In most cases, volatility was sharply higher
- WTI Crude Oil CVOL +44% | Gold CVOL +51% | 10 Year Yield CVOL +35% | Bitcoin 30-Day ATM Implied +25%
- E-mini S&P 500 and Nasdaq-100 both wound up higher and with small changes in implied volatility
- WTI Crude Oil futures prices fell by over 13%
- As we wrote about all week, Treasury Yields were extraordinarily active and, at the end of the week, the Micro 10-Year had declined by about 30 basis points. The Micro 2-Year had declined by about 74 basis points, reducing the inversion between the two in by about 44 basis points.
- Bitcoin futures prices saw a huge, 35% rally while implied volatility in the options increased by a relative 25%. The 25 delta risk reversal in the Bitcoin options moved from -7 to +2 as the Calls gained relative to the Puts.
And there ends an extraordinarily volatile week. Have a great weekend, enjoy the first rounds of March Madness and we’ll see you back here on Monday!
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