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The Search for Volatility

With 50.5 trading days left in the year and equity vol DOA, market participants are hunting for something to trade. Here’s a rundown of volatility levels by asset class (equities, metals, fx, energy, ags, and rates); all vol cones are for a 5-year history with expirations on the left-hand side.

Equities

E-Mini S&P 500 vol is at 5-year lows:

Metals

Gold and silver vol is near 5-year lows as well:


Copper vol shows signs of life for shorter dated expiries after testing recent highs:

FX

FX vol is middling:



Energy

Oil vol is low as WTI grinds higher:

Natural gas shows signs of seasonality:

Ags

Ags also harboring low vol:






Rates





Eurodollars

Eurodollar vol reflects uncertainty around the next rate hike:





Cross Asset Class Volatility Update

In the last few weeks volatility has returned to financial headlines with a vengeance leaving traders checking under their beds for asset bubbles and causing “panic” when VIX traded with a 17-handle for the first time since November 2016. So what’s really playing out in markets?

* note that the volatilities shown are calculated using industry standards based on the type of asset; for example, absolute levels cannot be compared between rates and metals.

Rates

In rates space historical volatility (orange) has picked up but implieds (blue) are lackadaisical. FV/5-yr, TY/10-yr, and US/bond, 30-day constant maturity series are shown respectively below:

 

Here’s a longer dated TY history:

Metals

Gold vol has actually found a bid (with silver and palladium following suit):

While platinum, thus far, is flat:

Energy

Natural Gas implied volatility is the lowest it’s been since 2014:

Although oil is off the lows of the year:

Ags

Vol has come back down in grains after an exciting month although wheat could be picking up again:

Equities

And last but not least, E-mini S&P500 vol has caught a bid:

For a little perspective of where we are currently, here’s a 5-year history of a few constant maturity series:

Like all things, low vol environments eventually come to an end, but low vol by itself doesn’t “trigger”  eruptions. Claiming that vol can uptick ahead of an event isn’t exactly going out on a limb. But I’m sure they’ll tell you they told you so next week.

Check Out The Latest Futures Options Roundtable

Are you looking for some light listening to help you through the trading day? We’ve got just what you need!

Nick has become a regular on the Futures Options Roundtable presented by The Options Insider. Below is a breakdown of the panel discussion in the latest podcast:

Ags:

  • Corn: Corn futures continued to slump to a 50-month low as waning prospects for frost damage this week
  • Wheat/Soybeans: Unusual activity, hot strikes and large open interest changes.

Energy:

  • Crude Oil:  Taking it on the chin as ISIS “crisis” fails to impact production.
  • Nat Gas: Unusual activity, hot strikes and large open interest changes.

Metals:

  • Gold: Gold futures rebounded from an eight-month low on signs of increased demand for bars and jewelry in India.
  • Silver: Silver futures for December delivery rose 0.1 percent to $18.62 an ounce.
  • Platinum: On the New York Mercantile Exchange, platinum futures for October delivery fell 0.5 percent to $1,363.50 an ounce

Forex:

  • Currencies: The US dollar making a strong move. The price of the UK pound amid Scottish independence fury.

Listen to the player above to hear what Nick and the rest of the panel has to say about the recent happenings in the world of futures and options.

Nick Discusses Oil, Metals, Ags With Futures Options Roundtable

Joining the Futures Options Roundtable has become a regular occurrence for our CEO Nick Howard. In the latest edition, the group, led by Mark Longo, founder of The Options Insider Inc., covered a wide range of topics, including:

  • The fluctuating Crude and Brent Crude Oil markets
  • The recent events in the Metals markets
  • How the weather conditions in the Midwest are affecting Corn output

Interested in what the panel had to say? Here’s the link to the full podcast: http://traffic.libsyn.com/radionetwork/FOR13.mp3.

Don’t forget to let us know your thoughts on Nick’s insights and the Futures Options Roundtable.