Key Takeaways with Craig

Believe it or not, that’s a wrap on the first half of 2024!  As we head into the third quarter and second half of the year, we thought it was a good time to take a look at what happened during the first six months.  So today we’re bringing you a “3 for 1” summary of price and volatility changes in some of CME’s major products using CVOL and QuikStrike data.   

  • US Equity Indexes had a blistering start to the year, as the E-mini S&P 500 futures price was up about 15% and the Nasdaq-100 up by 17%.  Perhaps not surprising, given these strong price gains, implied volatility in the options on both indexes is near multi-year lows. 
  • WTI Crude Oil futures prices are up by about 14% while CVOL in the options is down by about 23% on the year.  While off the year’s low, this CVOL level represents near multi-year lows here as well.
  • The Euro FX is down by about 3% relative to the US Dollar, while CVOL has risen since the beginning of the year.  It is worth noting that much of that increase in the CVOL level has happened this past month of June. 
  • CME’s 10-Year Treasury Yield future has risen by about 50 basis points this year, though at its peak, was trading about 35 bps higher than the current levels.  CVOL in the options has come down since the beginning of the year, but did rise slightly during June.
  • Corn and Soybean prices are about 13-14% lower since the beginning of the year.  Even though it looks like CVOL has risen dramatically, a closer look reveals that its current level is the third lowest at the end of June in any year since 2014.  Because of the cyclical nature of this options product, it is important to include that context. 
  • Natural Gas is up by about 4% on the year, at 2.607.  However, it saw closing levels as high as 3.313 and as low as 1.58 during the past six months.
  • Finally, Bitcoin futures prices are up by 42% on the year, despite declining by 16% in the 2nd quarter. 

It’s hard to believe, at least for this author, that the year is halfway in the books already, but that’s where we are as we look to the second half of 2024.  We’ll see you on Monday as we begin the July 4th Holiday-shortened week.  Have a safe and happy weekend!

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