Key Takeaways with Craig
US Equity prices struggled to find a clear direction again today, but ultimately, all four major US Indexes ended lower. Implied volatility in CME’s Equity Index options markets ticked lower today and in the E-mini S&P 500 is approaching the 3-month average level. The implied volatility in the out of the money Calls continues to rise versus that of the Puts. As you can see in the QuikStrike graph of the Risk Reversal (25 Delta Call volatility minus 25 Delta Put volatility) in the E-mini S&P 500 options, the Calls have increased steadily relative to the Puts over the last couple of weeks. Somewhat interestingly, since April 29th, the E-mini S&P 500 futures price has declined by about 2.25% while the difference between the Call and Put implied volatility has decreased from about 9% to about 6%.
US Treasury yields were mostly lower according to CME’s Micro Treasury Yield futures contracts though the shape of the yield curve moved in a unique way:
Micro 2-Year Yield: -2.3 Basis Points
Micro 5-Year Yield: -7 Basis Points
Micro 10-Year Yield: -4.5 Basis Points
Micro 30-Year Yield: +1 Basis Point
WTI Crude Oil futures prices continued to rise, up another 3% today to over $113 per barrel. Just since May 10th, WTI Crude prices are up by over 15% though implied volatility remains near the low end of a one standard deviation relative to the last 3 months.
Finally, Wheat futures prices rose another 6% today and are approaching recent highs and some of the highest prices we’ve seen in history. Ignoring the spike we saw in the beginning of March when Russia began its invasion of Ukraine, implied volatility in the Wheat options is trading as high as we’ve seen it since mid-2012.
Todays Featured Videos
Today's Future Price Action
The information in the market commentaries have been obtained from sources believed to be reliable, but we do not guarantee its accuracy and expressly disclaim all liability. Neither the information nor any opinions expressed therein constitutes a solicitation of the purchase or sale of any futures or options contracts. The information on this site compiled by CME Group is for general purposes only. All information and data herein is provided as-is. Additionally, all examples on this site are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or the results of actual market experience. CME Group assumes no responsibility for any errors or omissions. CME Group, its affiliates and any third party information and content providers expressly disclaim all liability with respect to the information and data contained herein including without limitation, any liability with respect to the accuracy or completeness of any data. You use the data herein solely at your own risk. All data and information provided herein is not intended for trading purposes or for trading advice. All matters pertaining to rules and specifications herein are made subject to and superseded by official CME, CBOT, NYMEX and COMEX rules. Current rules should be consulted in all cases concerning contract specifications.
Neither futures trading nor swaps trading are suitable for all investors, and each involves the risk of loss. Due to the leveraged nature of futures trading and swaps trading, it is possible to lose more than the amount deposited in a position. Therefore, traders should not deposit more funds than they can afford to lose without negatively affecting their lifestyles. A trader cannot expect to profit on each trade, and should only devote a small amount of their available funds to each trade. All references to options refer to options on futures.
Past performance is not necessarily indicative of future performance.
CME Group, the Globe Logo, Chicago Mercantile Exchange, Globex and CME are trademarks of Chicago Mercantile Exchange Inc. CBOT is the trademark of the Board of Trade of the City of Chicago, Inc. NYMEX is the trademark of the New York Mercantile Exchange, Inc. COMEX is a trademark of Commodity Exchange, Inc. All other marks are the property of their respective owners. Each of Chicago Mercantile Exchange Inc. (ARBN 103 432 391), The Board of Trade of the City of Chicago Inc (ARBN 110 594 459), the New York Mercantile Exchange Inc (ARBN 113 929 436) and Commodity Exchange, Inc. (ARBN 622 016 193) is a registered foreign company in Australia and holds an Australian market licence.
This site does not constitute a prospectus, product disclosure statement or legal advice, nor is it a recommendation to buy, sell or retain any specific investment or to utilise or refrain from utilising any particular service. Readers should consult their legal advisors for legal advice in connection with the matters covered on this site.