At-a-Glance
Key Takeaways with Craig
From time to time, we’ve described the daily stock market price action as “struggled to find a clear direction”. That is a bit of an understatement lately as the major US equity indexes swung wildly again today. As we said yesterday, there are not shortages of potential market-moving headlines this week including an expected FOMC announcement tomorrow, ongoing geo-political tensions between Ukraine and Russia and expected earnings reports from very large technology companies this week. When the dust had settled on today’s trading action, the equity indexes had closed broadly lower (after selling off in the final minutes of trading) and implied volatility continued to rise.
In other CME Group markets, US Treasury yields rose according to the Micro Treasury Yield futures prices. From 2-Year through the 30-Year, the yields rose by about 4 basis points. During yesterday’s stock market sell-off, the CME Group Fed Funds futures had priced in a slightly lower probability for a rate hike at the March meeting but that had largely reversed itself today according to the FedWatch tool. It is currently showing a close to 90% probability of a 25 basis point hike at the March meeting.
WTI Crude Oil futures prices resumed their climb higher today, up by about 2.5%. 30-Day implied volatility in the WTI Crude Oil options has risen form 36% to 42% in the last couple of trading sessions.
With all of the potentially market-moving news that we mentioned before, it is difficult to isolate the impact of each to market prices. However, as you can see in the implied volatility curve in the E-mini Nasdaq-100 displayed in the QuikStrike graph below, the options market is certainly pricing in significant and elevated volatility in the upcoming expirations. Specifically, the leftmost data point in the graph is tomorrow’s expiration, trading at an implied volatility of about 65%. To translate that into dollars, we took a look at the prices in the at the money straddle that expires tomorrow in the Nasdaq-100 options. The midpoint between the bid and offer suggests that the one-day straddle is trading at about 380 points. In the E-mini Nasdaq-100 options, this represents about $7,600. Remember, though we don’t have Wednesday expirations in the Micro E-mini Options, we do list Micro E-mini options on the S&P 500 and Nasdaq-100 that are 1/10 the size of the E-mini.
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.