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.  

Today's Future Price Action

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