At-a-Glance
Key Takeaways with Craig
US Equity prices broke substantially today, leading to weekly declines, especially in the small-cap Russell 2000, which was down by about 4% on the week. Treasury yields also fell, as CME’s 10-Year yield was down by about 8.5 basis points. Below is the weekly recap of net price and volatility changes in some of CME’s biggest futures markets, compiled with QuikStrike and CVOL data.
- In addition to the price declines, implied volatility in CME’s Equity Index options spiked higher.
- Natural Gas futures prices rallied by about 12% and are trading at, or near, 2-year highs. Even with the spike in CVOL levels this week, volatility in the options is trading at about the same level it was last year at this time.
- Despite continuing price volatility in Bitcoin futures prices, volatility in the options fell to levels last seen in July.
- CME’s 10-Year Treasury yield future was down by about 5 basis points, while CVOL in the options traded higher, with most of that gain coming today.
- CVOL in the WTI Crude Oil and FX options markets jumped this week as well.
So as we head into the final week of February, we report a much different picture than we did a week ago when this column reflected a decline in implied volatility in almost every product we looked at. We wish everyone a happy and safe weekend and we’ll see you all on Monday.
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