At-a-Glance
Key Takeaways with Craig
US Equity prices began the day broadly higher, but quickly began to sell-off earlier in the morning. By the end of the day, all four major US indexes were trading lower, led by the Nasdaq and the small-cap Russell 2000, which were down by 1.75% and 1.5%, respectively. Perhaps unsurprisingly, implied volatility in CME’s Equity Index options markets continued to trade higher today, though it does remain below the levels of last September and October when an increase in Treasury yields led to an equity market sell-off.
Treasury yields also traded higher today, particularly at the long end of the yield curve, where CME’s 10-Year Yield Future was up by about 12 basis points and the 30-Year was up by about 12. As we wrote about on Friday, the reaction in the Treasury options has been even more pronounced. The top graph below depicts the CVOL level in the aggregate Treasury options and the lower graph shows the convexity. As you can see, not only has implied volatility spiked, but the out of the money options have risen much more relatively to the at the money, which is what the measure of convexity represents.
In other CME Group markets, CVOL in CME’s FX options markets continued higher today, and is up by over 33% since the last week in March. WTI Crude Oil futures prices were little changed, but CVOLwas up from about 34 to nearly 38. And Gold prices were up by 1% while Silver increased by over 2%.
Have a nice evening, enjoy the beautiful spring weather for those in the Chicago area and we’ll see you tomorrow.
Todays Featured Videos
Today's Future Price Action
Traders Resources
The information in the market commentaries have been obtained from sources believed to be reliable, but we do not guarantee its accuracy and expressly disclaim all liability. Neither the information nor any opinions expressed therein constitutes a solicitation of the purchase or sale of any futures or options contracts. The information on this site compiled by CME Group is for general purposes only. All information and data herein is provided as-is. Additionally, all examples on this site are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or the results of actual market experience. CME Group assumes no responsibility for any errors or omissions. CME Group, its affiliates and any third party information and content providers expressly disclaim all liability with respect to the information and data contained herein including without limitation, any liability with respect to the accuracy or completeness of any data. You use the data herein solely at your own risk. All data and information provided herein is not intended for trading purposes or for trading advice. All matters pertaining to rules and specifications herein are made subject to and superseded by official CME, CBOT, NYMEX and COMEX rules. Current rules should be consulted in all cases concerning contract specifications.
Neither futures trading nor swaps trading are suitable for all investors, and each involves the risk of loss. Due to the leveraged nature of futures trading and swaps trading, it is possible to lose more than the amount deposited in a position. Therefore, traders should not deposit more funds than they can afford to lose without negatively affecting their lifestyles. A trader cannot expect to profit on each trade, and should only devote a small amount of their available funds to each trade. All references to options refer to options on futures.
Past performance is not necessarily indicative of future performance.
CME Group, the Globe Logo, Chicago Mercantile Exchange, Globex and CME are trademarks of Chicago Mercantile Exchange Inc. CBOT is the trademark of the Board of Trade of the City of Chicago, Inc. NYMEX is the trademark of the New York Mercantile Exchange, Inc. COMEX is a trademark of Commodity Exchange, Inc. All other marks are the property of their respective owners. Each of Chicago Mercantile Exchange Inc. (ARBN 103 432 391), The Board of Trade of the City of Chicago Inc (ARBN 110 594 459), the New York Mercantile Exchange Inc (ARBN 113 929 436) and Commodity Exchange, Inc. (ARBN 622 016 193) is a registered foreign company in Australia and holds an Australian market licence.
This site does not constitute a prospectus, product disclosure statement or legal advice, nor is it a recommendation to buy, sell or retain any specific investment or to utilise or refrain from utilising any particular service. Readers should consult their legal advisors for legal advice in connection with the matters covered on this site.
