Key Takeaways with Craig

US Equity prices were modestly lower today while US Treasury yields were little changed for the second day in a row, even after the release of the minutes from the last FOMC meeting.  Implied volatility in CME Group’s Equity Index options with 30 days until expiry was little changed, though it is relatively higher in the options that expire tomorrow.  High profile technology company earnings reports continue after the market closes today. 

As this will be our last newsletter before the Thanksgiving holiday, we are providing a year-to-date check-in on many of CME’s major products using QuikStrike and CVOL data.  Of course, a lot can happen between now and the end of the year, but here’s where we stand as we head into the holiday season which, at least to this author, goes by faster with each passing year!

  • Equities are up strongly this year, particularly the E-mini Nasdaq-100 futures which are up by 45%.  Implied volatility has dropped dramatically in the options markets.
  • WTI Crude Oil futures prices are 3% lower than they were at the end of last year, though the range has been much bigger than that.  CVOL is down by about 8%. 
  • Gold futures prices are up by about 11% on the year after a recent rally.  CVOL in Gold options has declined.
  • The Euro FX future has gained about 6% on the US Dollar this year.  CVOL has almost been cut in half. 
  • The Micro 10-Year Treasury Yield future is up by about 55 basis points but off the highest levels of the year.  CVOL has declined this year.
  • The inversion between the 2s and 10s is trading at about 40 basis points, but had fallen below 10 bps recently. 
  • After trading at historically high prices and CVOL levels last year, Natural Gas is trading at markedly lower levels in both.
  • Finally, the price of Bitcoin futures has risen by almost 125% this year and implied volatility in the options, after trading at historical lows over the summer, is higher than it was at the end of last year.

Again, a lot can happen over the last several weeks of the year, but that’s where we are after another eventful year so far.  We wish our readers a Happy and Healthy Thanksgiving and we’ll see you next Monday.   

Today's Future Price Action

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