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

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.