Key Takeaways with Craig

US Equity prices were mostly higher to begin the week that will include the last FOMC interest rate policy decision on Wednesday afternoon.  US Treasury yields were little changed on the day, as were CVOL levels in CME’s Treasury options EXCEPT FOR the 2-Year options, where CVOL was up from about 162 to 176. 

It was a relatively quiet day in terms of price movement in many of CME’s products, but there were a couple exceptions:

  • Natural Gas futures prices were down by about 5.5% in late afternoon trading but were down by about 10% earlier in the day.  CVOL levels in Nat Gas options rose with this move as well.  In the three graphs below, we used CVOL data to plot the future price and CVOL level and Skew in Nat Gas options on December 11th going back to 2013 (on years when 12/11 was not a business day, the closest day was used).  As you can see, the price of Natural Gas futures was only this low on two years since 2013, though volatility in the options is relatively high.  The graphs also do a good job of underscoring just how high the price and volatility was just one year ago. 
  • CME Cryptocurrency futures remained volatile as Bitcoin prices were down by about 8.2% and Ether by about 7% from Friday’s closing levels.  Implied volatility rose with the price break and the 25 delta Puts are now trading at a slightly higher implied vol level than the Calls for the first time since mid-October. 

We’ll see everyone tomorrow; have a great evening. 

Today's Future Price Action

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