Key Takeaways with Craig

In light of vacation schedules, today and tomorrow's InFocus Newsletter will be focused on showcasing valuable tools to enhance your trading strategies. Regular daily commentary recaps will resume on Monday, December 4. 

Today we’re highlighting the Event Volatility Calculator, a tool that helps you view the market’s price expectation of upcoming economic and geo-political events through the lens of implied volatility of the option. The implied volatility term structure for a specific product is the market consensus estimate of the future realized volatility for each given option expiration period. Variations in this term structure can imply potential moves in the underlying futures contract being priced in due to an upcoming event. 

As seen in the chart, at the top, you can select the asset class, product, and date of the event you want to analyze. The event volatility calculator will produce the implied one day move up or down in the futures price based on the options volatilities for the selected day. Potential events being priced in by implied volatilities will appear in the gray vertical bars in the chart space. If current option prices cannot imply a  potential event, the table will return no “event volatility calculated.” The chart shows the current at-the-money implied volatilities, represented by the blue box. The forward-at -the-money implied volatility is represented by the orange bars for each option expiration. The event volatility calculator allows you to visualize and analyze the options market.


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