Key Takeaways with Craig
Volatility jumped in CME Group financial and commodity markets following the weekend violence in the Middle East. The chart below details the one-day move in CVOL using the aggregate indexes in the five asset classes (we used at the money, 30-day implied volatility for the E-mini S&P 500 and Nasdaq-100). As you can see, while the equity index volatility was little changed, vol in the other products increased substantially from Friday’s closing level. We also included a graph of the skew in the 10-Year Treasury options (in yield terms), which shows the dramatic increase in Put volatility relative to Call volatility today.
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