At-a-Glance
Key Takeaways with Craig
US Equity Index prices fluctuated after the December CPI was released this morning but traded broadly higher in afternoon action. Implied volatility in CME’s Equity Index options dropped sharply after the uncertainty surrounding the CPI number was removed and, according to the Risk Reversal using 25 Delta E-mini S&P 500 options, Calls are trading as high relative to Puts as they have in the last year. US Treasury yields declined in a parallel shift of the curve with Micro 2s through 10s falling by about 10 or 11 basis points. According to CME’s CVOL tool, implied volatility fell in CME’s Treasury markets today as well.
In other CME Group markets, the US Dollar fell against most major currencies and Gold futures prices rallied, both perhaps associated with the decline in the CPI reading. As we’ve mentioned before, CVOL provides a volatility reading on both individual products but also on a basket of products in several asset classes (Treasury, G5 FX, Metals, Energy and Ag products). The aggregate CVOL index fell in each of those five asset classes today.
Finally, Bitcoin prices hit levels we haven’t seen since early November of last year, as you can see in the orange line in the top QuikStrike graph below. With the move higher, we’ve also seen implied volatility in the options come off the lows we saw last week when it hit the lowest level since CME listed options on Bitcoin (blue line). In the lower QuikStrike graph (25 Delta Risk Reversal) you can see that out of the money Calls have steadily gained in value relative to Puts over the last couple of weeks.
Todays Featured Videos
Today's Future Price Action
Traders Resources
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.
