At-a-Glance
Key Takeaways with Craig
US Equities fell today, though, as opposed to the last couple of days, the decline was more broad-based. Nonetheless, 30-day implied volatility traded higher in CME’s E-mini S&P 500 and Nasdaq-100 options, but declined slightly in the E-mini Russell 2000 options after the recent spike. US Treasury yields traded slightly higher today, particularly at the longer end of the curve where CME’s 10-Year Treasury Yield futures were up by about 5.5 basis points.
In other CME markets, Copper futures prices were down by about 3.3% and are trading at 3-month lows, though CVOL levels in the options remains well below the spike higher we saw in May of this year. Elsewhere, Natural Gas futures prices were up by about 4.3% and most major Foreign Currencies were lower against the US Dollar in CME’s FX futures markets.
Building on the theme that we’ve covered extensively here in the Key Takeaways column, the graphs below, powered by QuikStrike data, provide another year-to-date perspective on three of the major US indexes on which CME lists futures and options. The top graph shows the relative price performance of each index on a year-to-date basis. In other words, we graphed the net change in % terms each day, based on the settlement price from 12/29/2023. This provides a unique look at the relative underperformance of the Russell 2000 for most of the year, but the “catch-up” that has occurred just over the last several weeks.
The middle graph illustrates the closing at-the-money implied volatility (‘vol’) in each of the 3 indexes since the beginning of 2024. This graph clearly shows that, while correlated, the vol in the Russell 2000 options did trade higher, relative to the other two, during the recent price rally. Finally, the bottom graph depicts the 25-Delta Risk Reversal (Call vol minus Put vol) in the options markets of all three indexes since the beginning of 2024. This also paints a very clear divergence in the relative vol levels of Calls versus Puts lately, but also nicely illustrates the recent bid in Puts over Calls over the last couple of days.
For those in the Chicago area, we hope you enjoy the beautiful summer weather this evening and we’ll be back tomorrow to wrap up the week.
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