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Pre-Fed Weekly Expiry Highlight

In anticipation of the Fed announcement due out tomorrow at 2PM ET (press conference at 2:30PM ET) the market is pricing a one-and-done 25bp rate hike from a target range of 0.75-1.00% to 1.00-1.25%: For future meeting dates and additional details check out the CME’s FedWatch tool powered by QuikStrike. Using Weekly Options to Manage […]

Feature Highlight: Quickly Access Product Overviews with This Week in Options (TWiO)

For a product specific overview of recent moves in volatility, open interest, and volume all in one place, check out This Week in Options under Market Dashboard → TWiO Report. The symbols for the selected expirations with their respective expiration dates and days till expiry are on the left followed by the at-the-money (ATM) strike […]

QuikSkew™: A Snapshot of the Vol Curve

You can think of QuikSkew™ as a snapshot of the shape of the volatility curve that normalizes for high/low volatility environments. The format is a number followed by the letter “P” and then another number followed by the letter “C” as shown here: This example is from the TWiO Report, so the QuikSkew™ measure on top (bold, blue text) […]

DV01, Yield and the Deliverable Basket

QuikStrike now displays the current and settle values for yield and DV01 (dollar value of a basis point) on the Futures Information page. The four callout boxes on the following graphic highlight the new treasury specific information. The DV01 has always been a “behind the scenes” number in QuikStrike. However, now that we are calculating this […]