Key Takeaways with Craig

After a blistering rally that saw CME’s E-mini Nasdaq-100 futures price gain over 7.5% in January and February, it was down by close to 2% today.  In fact, all four major US Equity Indexes fell, while implied volatility in the options markets spiked higher.  The blue line in the top QuikStrike graph below shows the year-to-date 30-day implied volatility in E-mini Nasdaq-100 options.  However, as you can see from the middle graph, when you back up the timeframe to a year, the implied volatility remains below the 12-month closing average.  The bottom graph shows the volatility curve in the E-mini Nasdaq-100 and, as you can see, the options that expire over the next few days, during which the market will get several different looks at the US Employment situation, are trading considerably higher than the more deferred options. 

US Treasury yields fell today, with the 2-Year Treasury Yield future down by about 5 basis points and the 10-Year down by about 8.5.  CVOL levels in CME’s Treasury options markets was little changed.  Gold futures prices were up by about .6% today and CVOL in the options was near steady from yesterday. 

Finally, after rallying from about 39.5k at the end of January to 68.6k yesterday, Bitcoin futures prices fell by 7% today, while Ether was down by about 3.8%.  Implied volatility in the options market in both cryptocurrencies is trading at 1-year highs.  Somewhat interestingly, in the Ether options, the 25 Delta Puts are trading at an implied volatility almost as high as the Calls after today’s move, though in the Bitcoin options, the Calls are still trading considerably higher than the Puts.  

Today's Future Price Action

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