Key Takeaways with Craig
US Equity prices wandered higher again today as we continue to move through Q2 earnings season. Implied volatility in CME’s Equity Index options remains relatively low, though 30-day at the money implied volatility has moved just slightly higher in the E-mini S&P 500 options over the last few sessions. Like yesterday, US Treasury yields were little changed today with negligible change in the CVOL level in the options as well.
Despite the muted price changes in CME’s Treasury futures prices, CVOL levels in the FX options are trading at 1-month highs. Even though volatility in CME’s FX options is still well below the levels at which it was trading last Fall and even this spring, CVOL has increased from about 7.0 to about 7.9 in the last month.
With relatively quiet markets elsewhere at CME, grains markets, and particularly Wheat, continues to steal the show. September Wheat was up another 8% today and is up 13% in the last week. Even though we’ve been a bit heavy on Wheat options graphs this week, we thought today’s spike in both CVOL and Skew was worth illustrating again. As you can see in the top graph below, CVOL in Wheat options is as high as it’s been since March, 2022 during the initial Russian invasion of Ukraine. Today’s skew levels, which you can see in the lower graph are even more dramatic, almost as high as they were during the initial days of that invasion of Ukraine. Remember, this means that the Call volatility is trading as high relative to the Put volatility as it has in 2 years and almost as high as it was during the market disruption in March, 2022.
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