Key Takeaways with Craig
Happy New Year and welcome to In FOCUS 2024! We hope all of our readers enjoyed the holiday season and are ready for another exciting year. In today’s Key Takeaways section, we look back at 2023 in a format that should be familiar to regular readers.
In many of the markets we looked at, including Equities, FX, Interest Rates, Gold and WTI Crude Oil, we saw spikes in volatility in March after the Silicon Valley Bank failure and then again in October when US 10-Year Treasury yields had climbed to 5%. However, towards the end of November and through December, US Treasury Yields began to fall and Equity prices rallied in a move that was accentuated during the last couple weeks of the year after the FOMC meeting that ended on December 14th. Ultimately, after the dust had settled on a busy 2023, here are some of the highlights of net price and volatility changes in 2023 in some of CME’s major products, compiled using CVOL and QuikStrike data.
- US Equity Indexes rallied sharply and implied volatility fell. E-mini Nasaq-100 futures prices were up by over 50% while volatility in the options fell by about 44%. E-mini S&PP 500 futures rose by nearly 25% while implied volatility in the options was nearly cut in half.
- After reaching a yearly high of over $90 per barrel in late September, WTI Crude Oil had fallen to near $70 by the end of the year, down 11% from last December. CVOL was down by about 17% in the options.
- As US Treasury Yields declined at the end of the year, Gold futures prices rallied and wound up about 13% higher at the end of the year and near all time highs. CVOL was nearly unchanged from the previous December.
- Similar to Gold, Euro FX futures prices rallied at the end of the year and were up 3% versus the US Dollar. CVOL was about 27% lower than it was a year earlier.
- Somewhat remarkably, given all the volatility during most of 2023, the Micro 10-Year Yield wound up just about where it started. However, as we’ve mentioned, that came after a lot of back and forth movement.
- Finally, Bitcoin futures price appreciation stole the show, up a whopping 157% on the year while implied volatility in the options had risen from 48% to 65%.
So that’s a wrap on 2023 and we’re on to 2024 which has begun with lower equity prices, higher yields and generally higher volatility… at least on the first day!
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