Key Takeaways with Craig

US Equities charged out of the gate on the Monday after the Kentucky Derby, with all four major US Indexes trading higher, while implied volatility in CME’s Equity Index options declining.  Meanwhile, US Treasuries were nearly unchanged on the day. 

CME’s commodity markets saw some price action today with Gold futures prices gaining about 1%, Silver up by about 3.75% and Copper up another 1.2%.  In CME’s Energy markets WTI Crude Oil prices were up by just about .5% and remain under $80 per barrel, while Nat Gas rose another 2.5%, though remains historically low. 

Finally, the grains markets remain active with Corn futures prices higher by about 2% today, Soybeans up by about 2.5% and Wheat rose by about 3.75%.  There are a few factors influencing the recent price volatility in the grains markets:

  • A labor strike in Argentina has impacted the Soybean Meal production, leading to record US exports
  • Devastating floods in the south part of Brazil are impacting Soybean crops
  • USDA will release its Supply/Demand report this Friday, giving the market the first estimation of “new crop” planting. 

This hasn’t been lost on the options market as you can see in the CVOL graphs below.  The top graphs show CVOL (solid line) and Price (dotted line) for Soybean (left) and Corn (right) over the last 3 months.  The lower graphs show the skew in both options markets.  As you can clearly see, both volatility and skew are trading at elevated levels relative to the last three months.  

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