Key Takeaways with Craig
US Equity Index prices were mixed again today with the Dow Jones Industrials lower by about 1% while the Nasdaq rallied. Interestingly, even with the price decline in the E-mini Dow future, implied volatility in the options markets continued to decline today. Meanwhile, 30-day at the money implied volatility in the E-mini Nasdaq-100 options at its lowest level since November, 2021.
In the US Treasury market, Micro 2-Year and 10-Year Yield futures began the day lower but in late afternoon price action, the 2-Year was about 2.5 basis points higher while the 10-Year was still lower, but off the days lowest levels. CVOL levels rose slightly in CME’s Treasury options.
In other CME Group markets, Corn and Wheat futures prices were lower and Soybean prices were little changed ahead of tomorrow’s WASDE (Supply/Demand) report. The upper image below is a 6-month graph of the aggregate CVOL level for CME’s agricultural products. As you can see, implied volatility has risen ahead of tomorrow’s WASDE report as it did ahead of the Prospective Plantings report at the end of March, reflecting the market-moving potential of the report release. The lower QuikStrike graph below shows the implied volatility of the Corn option that expires tomorrow versus the vol of the option that expires next Friday, further underscoring the premium the options market is pricing in to the option that expires tomorrow (after the WASDE report).
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