Key Takeaways with Craig

It seems like the theme for quite some time has been lower volatility in many of CME’s major asset classes and the first two weeks of September have followed that trend.  As today marks the halfway point in the month, we recapped the first half of September in the chart below using QuikStrike and CVOL data.  As you can see, over the first two weeks of the month, implied volatility fell in every product we looked at except for in the E-mini S&P 500 and Bitcoin options. 

  • After today’s sell off, price in the E-mini S&P 500 and Nasdaq-100 were down by about 1.5% and 2% respectively month to date, though much of those losses came with today’s sell-off. 
  • WTI Crude Oil prices have risen about 8% this month and are trading at over $90 per barrel.   CVOL levels in the options have come down slightly from already low levels.
  • Gold prices were near steady over the first two weeks and CVOL declined further to multi-year lows.
  • Treasury yields climbed while volatility in the options declined.  The Micro 2-Year, while not included in the chart below, is trading near 5%. 
  • CVOL in both Corn and Soybean options declined substantially during a week that saw the release of the latest supply/demand (WASDE) report.

As always, we wish all of our In FOCUS readers a safe and happy weekend and we’ll be back on Monday reporting on the beginning of the second half of what has historically been a challenging month for equity prices.  

Today's Future Price Action

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