Key Takeaways with Craig
US Equity Index prices were lower, as were Treasury Yields while Gold futures prices spiked by over 3% in what looked like a classical “flight to safety” trade today. As you can see in the weekly recap of net price and volatility change below, volatility in some of CME Group product, particularly commodities like Gold and WTI Crude Oil, moved dramatically higher. As per usual, the chart below was compiled using QuikStrike and CVOL data.
- After falling today, prices in CME’s Equity Index futures were near steady on the week, while implied volatility in the options markets rose modestly.
- WTI Crude Oil futures prices were up by about 4% on the week, but up by over 5% just today. CVOL spiked by close to 40% and, like the futures price, much of that gain came today. Additionally, skew in the WTI Crude Oil options shifted decidedly toward the Calls.
- Like WTI Crude Oil, Gold futures prices spiked; moving up 3% today and about 5% on the week. Also similar to WTI Crude Oil, Gold options volatility moved sharply higher and the skew shifted toward the Calls.
- US Treasury yields fell, particularly at the longer end of the curve, as the difference between the Micro 2-Year Yield Futures and Micro 10s expanded by about 13 basis points. CVOL in CME’s Treasury options rose on the week.
As always, we wish all of our In FOCUS readers a safe and happy Fall weekend and we’ll see you on Monday.
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