Key Takeaways with Craig

US Equity indexes traded mixed again today with the Dow Jones Industrials slightly lower and the other major indexes logging modest gains.  US Treasury yields were slightly higher with the Micro 2-Year and 10-Year Treasury yields up by between 2 and 3 basis points.  Despite the muted price action, implied volatility/CVOL levels were higher in CME’s Equity Index and Treasury options as the market continues to watch the goings on in the debate over the US debt ceiling. 

In compiling last week’s review of price and volatility change, we noticed a rather large increase in volatility in some of CME’s grains markets so we took a closer look at the Corn options markets.  Using historical CVOL data, we found that the graph provides a nice illustration of the cyclical nature  of some of the grains markets at CME Group.  In the graph below, we used CVOL data for Corn options back to 2013.  Each orange line in the graph below represents the CVOL level in that particular year on or around May 22nd.  As you can see, in every year since 2014, volatility in Corn options has continued to increase from the third week in May and hit a peak between the end of May and middle of July, depending on the year.  The smallest increase in the CVOL level from around May 22nd to the peak occurred in 2019 at 29%, while the largest was 75% in 2015.  The yearly details are contained in the chart below the graph.  It’s worth noting that there was a peak in March, 2022 though that was attributable to the impact of the invasion of Ukraine by Russia.

Today's Future Price Action

Traders Resources

The information in the market commentaries have been obtained from sources believed to be reliable, but we do not guarantee its accuracy and expressly disclaim all liability. Neither the information nor any opinions expressed therein constitutes a solicitation of the purchase or sale of any futures or options contracts. The information on this site compiled by CME Group is for general purposes only. All information and data herein is provided as-is. Additionally, all examples on this site are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or the results of actual market experience. CME Group assumes no responsibility for any errors or omissions. CME Group, its affiliates and any third party information and content providers expressly disclaim all liability with respect to the information and data contained herein including without limitation, any liability with respect to the accuracy or completeness of any data. You use the data herein solely at your own risk. All data and information provided herein is not intended for trading purposes or for trading advice. All matters pertaining to rules and specifications herein are made subject to and superseded by official CME, CBOT, NYMEX and COMEX rules. Current rules should be consulted in all cases concerning contract specifications.

Neither futures trading nor swaps trading are suitable for all investors, and each involves the risk of loss. Due to the leveraged nature of futures trading and swaps trading, it is possible to lose more than the amount deposited in a position. Therefore, traders should not deposit more funds than they can afford to lose without negatively affecting their lifestyles. A trader cannot expect to profit on each trade, and should only devote a small amount of their available funds to each trade. All references to options refer to options on futures.

Past performance is not necessarily indicative of future performance.

CME Group, the Globe Logo, Chicago Mercantile Exchange, Globex and CME are trademarks of Chicago Mercantile Exchange Inc. CBOT is the trademark of the Board of Trade of the City of Chicago, Inc. NYMEX is the trademark of the New York Mercantile Exchange, Inc. COMEX is a trademark of Commodity Exchange, Inc. All other marks are the property of their respective owners. Each of Chicago Mercantile Exchange Inc. (ARBN 103 432 391), The Board of Trade of the City of Chicago Inc (ARBN 110 594 459), the New York Mercantile Exchange Inc (ARBN 113 929 436) and Commodity Exchange, Inc. (ARBN 622 016 193) is a registered foreign company in Australia and holds an Australian market licence.

This site does not constitute a prospectus, product disclosure statement or legal advice, nor is it a recommendation to buy, sell or retain any specific investment or to utilise or refrain from utilising any particular service. Readers should consult their legal advisors for legal advice in connection with the matters covered on this site.

CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). 
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

© 2024 CME Group Inc. All rights reserved.