At-a-Glance
Key Takeaways with Craig
US Equity Index futures prices were higher overnight and stayed that way throughout the trading day, as the market continues to recover from last week’s losses. The Nasdaq and Russell 2000 led the gains, as both were up by over 1.5%. Implied volatility in CME’s Equity Index options declined with the price rally. US Treasury yields were little changed on the day, as was CVOL in CME’s Treasury options. Of course, the market will be watching the earnings releases of some large technology companies, the GDP print on Thursday and the PCE release on Friday. As we showed yesterday, the volatility curve in CME’s Equity Index options still reflects the market-moving potential of these reports, as the options that expire Thursday and Friday are trading at elevated levels compared to the surrounding expiries.
Gold futures prices remain volatile as they traded in an approximately 37 point range today, though they settled down by only about .3%. CVOL in CME’s Gold options was lower today, though it remains elevated compared to the last 12 months. WTI Crude Oil futures prices rose by about $1.50 per barrel today, while CVOL in the options fell again. As you can see in the CVOL graph below, after an increase during most of April, volatility in WTI Crude Oil options is trading back near 1-year lows.
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