Report for 11/9/2017
Futures & Options trends and insights for active traders



Oil Advances as Intensifying Saudi Crackdown Spurs Instability

(Bloomberg) -- Crude resumed its rally as escalating tensions in Saudi Arabia and throughout the Mideast raised concerns about stability in the oil-rich region.Futures edged higher by 0.6 percent in N

Interest Rates

Flat U.S. Yield Curve Is All About Momentum, Algos: Scott Dorf

(Bloomberg View) -- It's hard enough to get the public to pay much attention to the market for U.S. Treasuries even in the best of times. And with volatility recently falling to a record low, mom and


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* Prices Reflected as of 3:15pm CT



Striking Options - Crude Oil and Tax Reform

Today Jon and Jeff focus on market activity amid current tax reform discussions. They also address current WTI Crude Oil prices with upcoming OPEC meeting coming up. Watch to learn more

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A possible delay to the anticipated tax cut caused US equities to trade lower today, though they were well off their lows at the end of the trading session and volatility which had spiked with the early equity sell-off had come back to levels nearer to where they closed yesterday. Treasury futures were down today and Gold was little changed, suggesting that there was not a flight to perceived “safe haven” markets as we see with some equity sell-offs. In other markets, both soybeans and corn futures fell today after the USDA report showed a higher than expected yield in both of those crops.

As we’ve seen in the past, we saw a dramatic decline in implied volatility in the grains markets after the crop report was released, which makes intuitive sense given the uncertainty that is removed from the market when the information is disseminated. As you can see in the graph below, implied volatility in the soybean options expiring in 15 days was near 14% at yesterday’s close; today, volatility was at about 9.3% at the close. Using the at the money, 15-day straddle to illustrate the difference in dollar terms that this difference in implied volatility represents, we see that using the current volatility, the straddle is worth a theoretical $750; using yesterday’s volatility of 14% that same straddle would be worth a theoretical $1,125.

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