Key Takeaways with Craig

And just like that, July, 2023 is in our rearview mirror.  As regular readers of the Key Takeaways column know, declining volatility has been the story in many of CME’s major products over the last several weeks and the July summary below is consistent with that.  The chart below was compiled with QuikStrike and CVOL data and shows the net price and volatility change in some of CME’s major products.

  • Major US Equity Indexes were higher on the month, though implied volatility in E-mini S&P 500 options ticked higher, albeit from low levels at the end of June. 
  • WTI Crude Oil futures prices have climbed steadily higher and were up by over 15% during July.  The CVOL level in the options, on the other hand, is at 3-year low levels. 
  • Gold futures prices also traded higher on the month and CVOL continues to trade at 3-year lows as well.
  • Treasury yields were higher on the month and CVOL traded higher by about 10% since the end of June.  Keep in mind that CVOL in June traded down to substantially lower levels than we’d seen in May. 
  • Bitcoin futures prices were down by about 4% while implied volatility in the options collapsed by a relative 26%.  Volatility in Bitcoin options is near the lowest level its traded at since CME launched the product. 

So, that’s the story as we enter the dog days of August.  We’ll be back tomorrow reporting on the first week of August trading that will include more tech earnings reports as well as the July Employment situation report on Friday.

Today's Future Price Action

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