Key Takeaways with Craig

US Equity prices fell, US Treasury Yields rose (more at the longer end of the curve) and volatility in the options markets of both increased this week.  Commodity prices such as WTI Crude Oil and Gold both were higher on the week and Bitcoin prices increased.  Below is a recap of net price and volatility changes in a format that should be familiar to regular In FOCUS readers, compiled using QuikStrike and CVOL data.

  • E-mini S&P 500 futures price was down by over 2.5% and Nasdaq-100 was down by about 3%.  Implied volatility in the options rose by a relative 16% and 13%, respectively.  The Risk Reversal, using the 25 delta strikes, suggests Puts are trading as high relative to Calls, as they have since May.
  • WTI Crude Oil and Gold futures prices were higher by 2% and 3%, respectively.  Even though CVOL in WTI Crude Oil options fell, it remains elevated compared to the levels at which it was trading for much of the Summer. 
  • US Treasury Yields shot higher, with the Micro 10-Year Yield Futures rising by almost 30 basis points.  CVOL traded higher as well and is near multi-month highs.  The Micro 2-Year Yield was only up by about 4.5 basis points on the week so the difference between the 2s and 10s narrowed to about 13 basis points. 
  • Finally, after a volatile week, Bitcoin Futures prices wound up higher by about 10%, implied volatility in the options increased and the skew, using the 25 delta risk reversal as a proxy, shifted toward the Calls.

We hope all of our In FOCUS readers have a happy and safe weekend and we’ll see you on Monday.  

Today's Future Price Action

Traders Resources

The information in the market commentaries have been obtained from sources believed to be reliable, but we do not guarantee its accuracy and expressly disclaim all liability. Neither the information nor any opinions expressed therein constitutes a solicitation of the purchase or sale of any futures or options contracts. The information on this site compiled by CME Group is for general purposes only. All information and data herein is provided as-is. Additionally, all examples on this site are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or the results of actual market experience. CME Group assumes no responsibility for any errors or omissions. CME Group, its affiliates and any third party information and content providers expressly disclaim all liability with respect to the information and data contained herein including without limitation, any liability with respect to the accuracy or completeness of any data. You use the data herein solely at your own risk. All data and information provided herein is not intended for trading purposes or for trading advice. All matters pertaining to rules and specifications herein are made subject to and superseded by official CME, CBOT, NYMEX and COMEX rules. Current rules should be consulted in all cases concerning contract specifications.

Neither futures trading nor swaps trading are suitable for all investors, and each involves the risk of loss. Due to the leveraged nature of futures trading and swaps trading, it is possible to lose more than the amount deposited in a position. Therefore, traders should not deposit more funds than they can afford to lose without negatively affecting their lifestyles. A trader cannot expect to profit on each trade, and should only devote a small amount of their available funds to each trade. All references to options refer to options on futures.

Past performance is not necessarily indicative of future performance.

CME Group, the Globe Logo, Chicago Mercantile Exchange, Globex and CME are trademarks of Chicago Mercantile Exchange Inc. CBOT is the trademark of the Board of Trade of the City of Chicago, Inc. NYMEX is the trademark of the New York Mercantile Exchange, Inc. COMEX is a trademark of Commodity Exchange, Inc. All other marks are the property of their respective owners. Each of Chicago Mercantile Exchange Inc. (ARBN 103 432 391), The Board of Trade of the City of Chicago Inc (ARBN 110 594 459), the New York Mercantile Exchange Inc (ARBN 113 929 436) and Commodity Exchange, Inc. (ARBN 622 016 193) is a registered foreign company in Australia and holds an Australian market licence.

This site does not constitute a prospectus, product disclosure statement or legal advice, nor is it a recommendation to buy, sell or retain any specific investment or to utilise or refrain from utilising any particular service. Readers should consult their legal advisors for legal advice in connection with the matters covered on this site.

CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). 
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

© 2024 CME Group Inc. All rights reserved.