Key Takeaways with Craig

After last week’s sell-off, US Equity prices were mixed to begin the last full week of October trading.  Implied volatility in CME’s Equity Index options fell slightly but remains elevated compared to the levels at which it traded over the last 6 months.  CME Treasury futures indicated rising yields during overnight and early morning trading, but by the end of the day, both the Micro 10 and 30-Year Yield futures were down by about 7.5 basis points. The Micro 2-Year was only down by about 1.5 bps, so the inversion widened by about 6 bps today.  CVOL levels were near steady in CME’s Treasury Options markets. 

WTI Crude Oil futures prices fell by a little over 2.5% today, with the December contract now trading at under $86 per barrel.  Even though CVOL in WTI Crude Oil options fell by over 5% today, it is still trading nearly 40% higher than the 3-month average, underscoring the significant rally we’ve seen recently. 

Finally, CME Group Cryptocurrency futures remained active with Bitcoin futures prices up by about 5.4% from Friday’s close and Ether futures up by about 5.6%.  With this move, Bitcoin futures prices are up by about 16% in just over a week (since Oct 13th) and Ether futures prices are up 10%.  Even though Ether outperformed Bitcoin slightly in today’s action, Bitcoin’s price performance has been relatively stronger over the last several months.  The top graph below, generated using CME Data, depicts the settlement price of Ether divided by that of Bitcoin and clearly shows this outperformance, especially over the last couple weeks.  This price action hasn’t been lost on the options markets either, as you can see in the lower graph and the graph on the right side, both of which were generated using QuikStrike data.  The lower graph depicts 3 months of Bitcoin Option at-the-money implied volatility and the graph on the right is the 25-delta Risk Reversal, which shows that, as implied volatility has increased, the Calls have increased more relative to the Puts.  

Today's Future Price Action

Traders Resources

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