At-a-Glance
Key Takeaways with Craig
US Equity Index prices were higher to begin the second half of July, while Treasury yields at the longer end of the yield curve were up slightly as well. CME’s 2-Year Treasury Yield Future was nearly unchanged, while the 10-Year was higher by about 4 basis points. Despite the relatively muted changes in yield, CVOL in CME’s Treasury options spiked higher, albeit from recent low levels. Specifically, CVOL in the 2-Year Treasury options traded from about 101 to 109 and in the 10-Year options it rose from about 92 10 107, both of those in yield terms.
In other markets, even though FX futures prices were little changed in CME’s markets, CVOL in the options traded higher today, again, off of relatively low levels. In CME’s commodity markets, Copper prices fell by about 1.25%, Natural Gas prices were down by about 4.75% and prices in most of the Ags markets traded lower. CVOL in the Ag options markets was mostly higher, but we took a look at the implied volatility in the December Corn expiration to gauge the “New Crop” volatility, using QuikStrike data. The red line in each graph below depicts the current implied volatility (top graph) and price (bottom graph) for December Corn; the other lines illustrate the years from 2018 through 2023, and the X axis shows the days until expiration. As you can see, implied volatility is as low as it’s been at this time of year since 2018 and, in only two other years, has price been this low.
Finally, Bitcoin futures prices rose by over 10% from Friday’s closing level and implied volatility in the Bitcoin options traded higher as well. Further, using the 25 Delta Risk Reversal as a proxy, the skew in Bitcoin options shifted toward the calls. In fact, 25 Delta Calls and Puts are now trading at nearly the same vol level.
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