At-a-Glance
Key Takeaways with Craig
US Equity prices were broadly higher today, led by the Nasdaq, which was up by nearly 1.4% in late afternoon trading. Implied Volatility in CME’s Equity Index options with 30 days until expiration were little changed today, but the options that expire after tomorrow’s Jobs report and after next week’s FOMC decision continue to trade at heightened vol levels, as you can see in the top QuikStrike graph below. US Treasury yields were little changed today, though CVOL in the options, which we’ve spoken about at length, continued to rally.
CME FX futures markets were active today, particularly the Japanese Yen, which was up by nearly 2.5% vs the US Dollar, reportedly after the Bank of Japan hinted at a shift in its interest rate policy. The middle graph below reflects the last six months of price action in the Yen futures. This action wasn’t lost on the Japanese Yen options market either, as you can see in the bottom graph below. The blue line represents the CVOL level and the purple line, the skew in CME’s Yen options markets. As you can see, volatility spiked and particularly in the Calls, with today’s news.
Have a great evening and we'll be back tomorrow after the release of the November Employment Situation report.
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