Key Takeaways with Craig
US Equities were mixed today as the Nasdaq began and ended the day lower while the Dow Jones Industrials fluctuated around the flatline for most of the day before a slight sell-off near the cash equity market close. Somewhat interestingly, even though the E-mini Nasdaq-100 futures price was down by nearly 1% in late afternoon trading, 30-day implied volatility in the options market was down from about 18.2% to 17.5%.
US Treasury yields were slightly higher earlier in the day but were trading near unchanged later in the day. CVOL levels in CME treasury options was similarly little changed.
Bitcoin and Ether futures caught a bid in CME futures markets today, up by about 7% and 5.5% respectively. Implied volatility in Bitcoin options spiked from 44% to 57% and the skew has shifted dramatically toward the Calls. In fact, last week on 6/15, the implied volatility of the 25 delta Put was trading about 5% higher than the Calls; today, the Calls are trading nearly 4% higher than the Puts.
Finally, CME grains markets remain active as we head into the crucial summer growing months. With a dry spring so far and some weather forecasts predicting continuing dryness, the price of Corn futures has risen by 14% just since last Wednesday and the price of Soybean futures has risen by about 9.5%. With these price moves has come a corresponding rally in CVOL levels as well as a skew move toward the Calls. We’ve graphed three months of CVOL and Skew data in Soybeans (top) and Corn (bottom) in the CVOL graphs below. The blue line in the CVOL graphs below depicts CVOL data while the purple line shows the Skew.
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