Key Takeaways with Craig

We’re writing today’s column from the annual Futures Industry Association Conference in Boca Raton, Florida, which always brings an element of excitement around futures and options trading.  US Equity prices were lower for most of the day and wound up mixed with the Dow Jones Industrials closing slightly higher and the S&P 500 and Nasdaq slipping a bit.  Implied volatility in CME’s E-mini S&P 500 options is trading at near 3-month highs but, if we zoom out a bit, it is still below the 12-month average closing level.  US Treasury Yields at the long end of the curve were little changed today but the 2-Year Treasury Yield futures was up by about 5 basis points.  CVOL in the 2-Year options traded higher, as did the convexity, which is an indication that the out of the money options were bid over the at the money. 

It was a relatively quiet day to begin the week in many of CME’s financial and commodity products, though cryptocurrency prices remain active.  Bitcoin futures traded as high as 73,550 earlier in the day and were trading at about 72,800 in late afternoon action.  Similarly, Ether futures were trading at about 4,080 late in the day after hitting a high of 4,136 earlier.  Implied volatility in both of those cryptocurrency options markets is trading at recent high levels, though the skew has diverged a bit in these two cryptocurrencies.  We’ve used QuikStrike to graph the skew (using the 25 Delta Risk Reversal as a proxy) in the Bitcoin options in the top graph and the Ether options in the lower graph.  As you can see in the top graph, 25-Delta Bitcoin Calls are still trading at a higher implied volatility level than the Puts, while in Ether, the Puts are now trading over the Calls. 

So that’s where we stand ahead of tomorrow’s CPI report that will give us the latest indication of the domestic inflation situation.  

Today's Future Price Action

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