Key Takeaways with Craig
US Equity Index prices were generally higher again today, though the small-cap Russell 2000 was down by just a fraction. Implied volatility in CME Group’s Equity Index options markets continues to trade near two-month low levels. US Treasury Yields were down today, particularly at the longer end of the curve where Micro 10 and 30-Year Treasury Yield futures were both down by over 8.5 basis points. The Micro 2-Year Yield was only down by about 2.5 bps, so the inversion between the 2s and 10s has increased back to nearly 30 basis points. CVOL in the 2-Year options increased while it was near steady in the longer dated maturities.
Natural Gas futures prices declined again today and are now down by about 11% since the end of October. CVOL in Nat Gas options has risen over the last couple of weeks and is now trading at levels last seen in the middle of June. Because of the seasonal nature of Natural Gas prices, we wanted to take a look at how the current CVOL level compared to the level at which it was trading on (or near) November 7th over the previous 10 years. The orange lines in the graph below represent November 7th (or as close to November 7th as we could get when 11/7 was not a trade date). As you can see, CVOL in Natural Gas options is trading at a higher level than it was in 8 of the 10 previous years, though it was higher in the last two years.
We’d also like remind all of our readers that, as of yesterday, CME Group lists a Micro Natural Gas futures product that is 1/10 the size of the standard product.
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