Key Takeaways with Craig
After a small rally yesterday, US Equities resumed last week’s sell-off today as all four major indexes were lower on the day. Implied volatility (“vol”) in CME’s Equity Index options traded higher again and, in the E-mini Nasdaq-100 for example, 30-day vol has increased from 15.5% on September 14th to 22% today; a relative increase of 42%. However, to put that in a perspective, even with that jump in vol, it is still trading slightly below the 1-year average closing level. US Treasury yields were little changed today, though the Micro 30-Year Yield future was up by about 3.5 basis points.
In other CME Group markets, the US Dollar gained relative to most major currencies in the FX futures markets and Gold futures prices were down by about 1%. Perhaps as interesting as the 2.5% price decline in Gold over the last week are the CVOL changes we saw today. As you can see from the blue line in the CVOL graph below, volatility increased with today’s price decline. More dramatically, the skew moved from a Call to a Put skew as you can see in the purple line in the same graph. Remember, this suggests a relatively bigger volatility increase in the Puts than the Calls in today’s options markets.
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