At-a-Glance
Key Takeaways with Craig
US Equity prices rose modestly, and Treasury yields ticked higher as we begin the second week of June trading. CVOL levels in the 2-Year Treasury options rose slightly, while those in the 10-Year options fell by a bit.
Perhaps more interesting is the shape of the volatility (“vol”) curve in both CME’s Equity Index and Treasury options. The two graphs in the image below show the vol curve in the E-mini S&P 500 options (left side) and 10-Year Treasury Note options (right side) and clearly illustrate the elevated level of implied volatility in the options that expire on Wednesday afternoon (E2CM4 and WY2M4) after the release of the US CPI report at 7:30 AM Central Time and the FOMC announcement expected at 1:00 PM Central Time. The image below the graphs is an excerpt from CME’s “Event Volatility Calculator” that seeks to estimate the amount of price movement in the underlying future that the options market is pricing.
In other CME markets, WTI Crude Oil futures prices rose by about 2.4%, though CVOL levels dropped and are trading back near multi-year lows. CVOL levels in most of the major FX options markets rose again and continue to come off of recent lows, though the aggregate G5 CVOL level remains below the one-year average closing level. Finally, CVOL levels in CME’s grains options markets traded mostly higher ahead of Wednesday’s USDA Supply/Demand report.
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