At-a-Glance
Key Takeaways with Craig
US Equity Index futures prices sold off today as we begin a week full of corporate earnings and economic reports including the FOMC decision on Wednesday and the January Employment report on Friday. As we mentioned last week, the CME tool called the Event Volatility Calculator is suggesting the option market is pricing in the potential for a large price move in the E-mini S&P 500 and Nasdaq-100 futures as a result of these events. Specifically, the tool is suggesting the options market is pricing the potential of a nearly 300 point move in the NQ and over 65 point move in the ES. The two QuikStrike graphs below show the implied volatility curve in both of those options markets.
We’ve written extensively about CME’s Natural Gas markets lately but the price keeps falling so we keep writing about it. Today futures prices were down another 5.7% to the lowest level we’ve seen since about April, 2021. Implied volatility remains elevated but off its high levels and, while the options still have a Call skew, the Puts continue to gain relative to the Calls according to the CVOL skew metrics.
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