Key Takeaways with Craig
Both US Equity Index prices and Treasury yields were little changed on the day, though implied volatility in the options markets of both rose to begin a week that includes several Federal Reserve official speeches and the release of CPI, PPI and Retail Sales reports.
The blue line in the top QuikStrike graph below represents the current implied volatility curve of the E-mini Nasdaq-100 options and the orange line represents the levels at Friday’s close. As you can see, there was a marked increase in volatility, particularly in the options that expire this week. Similarly, the middle graph is that of the aggregate Treasury CVOL index and, as you can see, shows a bit of a spike after trading lower for most of this month.
CME commodity markets were active today with Corn and Soybean futures prices both higher by over 2.5%, WTI Crude Oil up by about 1.75% and Natural Gas higher by about 6.5%. CVOL levels in Natural Gas and the grains options both traded higher, while it was slightly lower in the WTI Crude Oil options. As you can see the bottom graph below, CVOL in Nat Gas options is at 6-month highs and, as we wrote about last week, with the exception of the last two years, is also relatively high for this time of year.
We’ll be back tomorrow to report on the market reaction to the release of the CPI number as we move through the last full week before the Thanksgiving holiday here in the US.
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