Key Takeaways with Craig
Equity Markets were fairly rangebound again today as we move toward the last trading days of November. Ultimately, the Dow, S&P 500 and Nasdaq all managed gains on the day, while the small-cap Russell 2000 was down a bit. Implied volatility in CME’s Equity Index options was also little changed on the day and remains near recent low levels.
Also for the second day in a row, the Treasury markets were more active with the Micro 2-Year Treasury yield futures contract down by over 10 basis points and the 10-Year down by about 6. CVOL levels in all Treasury tenors at CME rose again, with the 2-year up another 7% which makes a 2-day move of about 13%.
Perhaps related to the decline in Treasury yields, the US Dollar fell versus most major currencies and Gold futures were up by about 1.5%. With today’s move, Gold futures prices are trading at 1-Year highs and we saw a spike in the CVOL level in Gold options, as you can see in the top CVOL graph below (the dotted line represents the price of Gold futures and the solid line represents the CVOL level). Additionally, we saw a increase in the Call volatility relative to the Puts, as you can see in the lower CVOL graph, which depicts CVOL skew.
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