Key Takeaways with Craig
US Equity Indexes were broadly lower and Treasury yields were little changed ahead of tomorrow’s CPI release scheduled for 7:30 AM Central Time. As we discussed yesterday, the E-mini S&P 500 and Nasdaq-100 options that expire tomorrow afternoon, after the release of the inflation data, continue to trade at elevated levels relative to the more defered options.
CME Energy markets were active today with WTI Crude Oil futures prices up by about 1.7% and Natural Gas prices up by nearly 6.75%. After today’s move, Nat Gas prices are up by 15% since last Thursday and the options CVOL level is up by 18.5%.
Despite the rise in Nat Gas CVOL lately, generally, volatiltiy levels remain relatively low in most CME Group asset classes. We used CVOL data from the aggregate indexes to create the year to date graphs below. As you can see, with the exception of the aggreate Ags CVOL, all other asset classes are trading below the YTD average (we used the at the money, 30-day implied volatility in E-mini S&P 500 options for a proxy for equities). Remember, the aggregate indexes are comprised of the following products:
- Treasury CVOL Index: An aggregate volatility index constructed based on 2-Year, 5-Year, 10-Year, and 30-year CVOL Indexes
- G5 FX CVOL Index: An aggregate volatility index constructed based on EUR, GBP, JPY, AUD, and CAD CVOL Indexes
- Agriculture CVOL Index: An aggregate volatility index constructed based on Corn, Soybeans, Wheat, Soybean Oil, Soybean Meal, Lean Hogs, Live Cattle, and Class III Milk CVOL Indexes.
- Energy CVOL Index: An aggregate volatility index constructed based on WTI Crude Oil, Henry Hub Natural Gas, RBOB Gasoline, and NY Harbor ULSD CVOL Indexes
- Metals CVOL Index: An aggregate volatility index constructed based on Gold, Silver, and Copper CVOL Indexes
Have a great night and we’ll see you all tomorrow.
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