At-a-Glance

Key Takeaways with Craig

US Equity Index prices fluctuated throughout the day but ultimately wound up near steady, with the excpetion of the small-cap Russell 2000 index, which was up by over 2.5%.  US Treasury yields were little changed as the Micro 2-Year Yield futures contract was up by about 3 basis points and the Micro 10-Year was nearly unchanged on the day.  CVOL levels in Treasury options have come down materially, as measured by the aggregate Treasury CVOL index which is down by nearly 25% in the last two weeks. 

Although slightly lower today, we thought it was a good time to re-visit CVOL levels in CME’s grains options as we head into the historically volatile summer months.  As you can see in the upper CVOL graph below, volatility in both Corn and Soybean options has continued to rise as we’ve moved through the first week of June.  Let’s take a look at where it compares to levels on June 6th over the last several years.  The lower graph depicts Corn CVOL since October, 2013.  The vertical orange line depict the CVOL level on or near June 6th of each year and the yellow line is drawn at today’s level.  The graph illustrates a very clear seasonal pattern in Corn implied volatility and, in most years, indicates that the CVOL level continued higher after June 6th.  The yellow line shows that CVOL is relatively high this year compared to the years since 2014. 

Today's Future Price Action

Traders Resources

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