At-a-Glance

Key Takeaways with Craig

Both US Equity and cryptocurrency prices were lower today as the post-election rallies paused.  Treasury yields, at the short end of the curve, moved higher while longer duration treasuries were little changed.  It was a relatively quieter day, generally, in CME Group markets, so we thought it was a good opportunity to look at the options volatility moves since the election. 

Somewhat unsurprisingly, as the image below reflects, options volatility has come down in every market we looked at and, in some markets, by 20-30%.  The blue line in the Treasury, Gold, Euro FX and WTI Crude Oil CVOL graphs below depict the CVOL level in the respective options since 11/1 (before the election).  The Bitcoin and E-mini S&P 500 QuikStrike graphs show the implied volatility (blue line) and price (orange line) over the same time period.  


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