Key Takeaways with Craig
It was another relatively quiet day in many of CME’s financial and commodity markets that saw equity index prices fall slightly and Treasury yields, particularly at the short end of the curve, increase by a bit.
In other CME markets, grain futures prices were lower again, energy prices were also down, especially Natural Gas, which was down by over 6% and metals prices were mixed, but only slightly changed.
Given what “seems” like muted volatility lately, we used QuikStrike and CVOL data to graph implied volatility in some of CME’s major products since the beginning of the year in the graphs below. For Interest Rates, FX, Energy, Metals and Agricultural products, we used the CVOL aggregate levels, which takes into account the CVOL levels in the major products within those asset classes. The constituent products within each aggregate index can be found here. We used the at the money, 30-day implied volatility of E-mini S&P 500 options as a proxy for Equity Index volatility, as we do not currently calculate CVOL for those.
As you can see, in Treasuries, Metals and Ags, the CVOL level is near the YTD average and not too far from where it began the year, though it did not get here in a straight line. However, in FX, Energy and Equities, we see a marked decline in volatility since the beginning of 2023.
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