At-a-Glance
Key Takeaways with Craig
US Equity Indexes traded higher for most of the day, but an abrupt sell-off in mid-afternoon trading led to losses of more than 1% in all four major US Indexes. As you might expect, implied volatility jumped with the break in stock prices, as you can see in the top QuikStrike graph of 30-day implied volatility in CME’s E-mini S&P 500 options. While it is obviously much higher than it’s been for most of the last 4-5 months, it is still below the volatility we saw last October when CME’s 10-Year Yield future rose by over 35 basis points in less than a week. Also, and somewhat unsurprisingly, as you can see in the lower QuikStrike graph, the vol in the options that expire tomorrow, after the release of the March Employment Situation report, are much higher than the more deferred expiries.
In other CME Group markets:
- US Treasury Yields were down by about 3 basis points in the 2-Year and about 5 bps in the 10-Year. CVOL levels rose.
- Gold prices retreated a bit after the recent rally that we talked about yesterday, while CVOL was steady in Gold options and came down a little in Silver options.
- WTI Crude Oil prices continued higher and CVOL continued to spike. We’ve included a graph on the right side of the image of WTI Crude Oil CVOL that shows that it’s up by about 35% since the middle of last week.
So, just like that, we’ve seen a pop in volatility in some of our major markets. We’ll be back tomorrow to report on the price action after the jobs report.
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.
