Key Takeaways with Craig
US Equities were little changed today as the market awaits tomorrow’s Depart of Labor Employment Situation report. Implied volatility in CME’s equity options with 30 days until they expire was little changed, though the options that expire tomorrow, after the employment report is released, are trading at elevated levels, perhaps in an indication of the market moving potential of that release. In fact, CME’s Event Volatility Calculator, that seeks to estimate the amount of futures price movement attributable to events like the Employment report based on the implied volatility curve, indicates the options market is pricing in a potential move of 175 points in the E-mini Nasdaq-100 futures price. We’ve included a graph of the E-mini Nasdaq-100 vol curve below for emphasis.
CME’s Energy markets were active again, as WTI Crude Oil futures prices were down another 2% and Nat Gas prices were up by about 7.75%. CVOL levels in both options markets increased on the day with WTI Crude Oil CVOL remaining at highs last seen at the end of June.
Have a great night and we’ll be back tomorrow reporting on the markets after the Employment report release!
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