Key Takeaways with Craig

As has been the case for much of May, CME’s Financial markets began the week relatively quietly with US Treasury yields up slightly and Equity prices mixed.  CVOL in the Treasury options markets and implied volatility in the equity index options markets ticked higher.  As we head into the Memorial Day weekend, unofficially marking the beginning of summer here in the US, there are still a couple of economic events for the market to watch including, among others, the FOMC minutes and continuing corporate earnings releases. 

CME commodity markets were particularly more active, as prices in the grains, metals and natural gas futures all rallied today.  In addition to the price rally, CVOL levels in the options markets were higher as well.  In fact, after today’s price move in Nat Gas futures of about 5.5%, it is up by nearly 50% just since the beginning of the month, albeit from historically low levels.  CVOL in the Nat Gas options markets has increased over the last couple of weeks but remains well below the one-year average. 

Cryptocurrency prices rebounded today, as Bitcoin futures prices rose by nearly 4% from Friday’s close and Ether prices rose by nearly 12%.  We also saw interesting moves in the options markets of both cryptocurrencies.  The two graphs on the left side of the image below depict price, implied volatility (orange and blue in the top graph) and skew (blue line in the bottom graph) in Ether, while the graphs on the right side illustrate the same for Bitcoin.  As you can see, while the trend in these measures is similar, the magnitude is much greater in the Ether futures and options.  

Today's Future Price Action

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