At-a-Glance
Key Takeaways with Craig
US Equities sold off to end a volatile month and volatile quarter in what has been a particularly volatile year. To mark the end of the quarter, we’re bringing you a “3 for 1” review in the Key Takeaways section today. Using QuikStrike data and in the format we normally use on Fridays, we’ve recapped net price and implied volatility changes on a Year to Date, Quarter to Date and Month to Date basis. Some highlights include:
- Over the first 3 quarters of 2022 (Year to Date)
- Implied volatility increased in each product we looked at except for in Bitcoin options.
- Implied volatility in E-mini S&P 500, Euro FX and 10-Year Treasuries has more than doubled and in the E-mini Nasdaq-100 it has almost doubled
- Yields in the Micro 10-Year Treasury future are up by over 150%
- Natural Gas futures prices are up 90%
- Bitcoin Futures prices are down 56%
- Implied volatility increased in each product we looked at except for in Bitcoin options.
- During the 3rd Quarter
- Euro FX implied volatility is up by 50% on a relative basis
- The price of Bitcoin futures actually rose by 7%
- Natural Gas implied volatility is up from 66.5% to 98.3%
- During September
- E-mini S&P 500 and Nasdaq-100 prices are down 9% and 10% in September alone
- WTI Crude Oil futures prices are down 10% in September
- Micro 10-Year Treasury yields are up 22% and implied volatility in the options rose from 8 to 10%
- Natural Gas futures prices are down 23% and implied volatility in the options is up 27%
So, that’s where we stand as we head into the 4th Quarter. We hope all our In FOCUS readers have a happy and safe weekend and we’ll see you on Monday.
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