Article / 14 March 2017 at 8:14 GMT

Volatility Update: Flat ahead of Fed announcement — #SaxoStrats

Product Manager, Options Trader, Educator
Denmark
  • Strong US jobs report failed to lift equities on Friday
  • Oil slid below $50/barrel as volatility increases
  • Lean hogs and natural gas among best-performing futures contracts

By Georgio Stoev

The world's largest economy added 238,000 jobs in February, while the unemployment rate fell to 4.7%. Equities and bonds held steady on the news and for the week the US S&P 500 finished largely unchanged. While lean hogs (HEJ7) and natural gas (NGJ7) were among the best-performing futures contracts, crude oil (CLJ7) slumped below $50/barrel and lost nearly 8%. 


benchmark

Source: QuikStrike

Our regular guest Nick Howard observed that while volatility in oil spiked as prices declined, both open interest and volume increased significantly. See here

Among the most active option contracts were the $50 puts with April and May standard expiration. Traders who believe oil could settle in the high $40s over the next few weeks could look at a short put spread (46/44 LOK7), which could be sold for a net credit of $0.41.

Over the weekend, another regular at the OptionsLab webinar, Russell Rhoads, tested the volatility temperature on major assets. The CBOE Volatility Index closed up over 6% on Friday at $11.66. The price  coincides with its 30-day moving average.
Volatility
 
Source: Russell Rhoads (CBOE)


Last week's trade: We bought a natural gas call spread 2.90/2.95 (ONJ7) for $2.47. At the time of writing futures are trading at $3.05. 

Trade views of the week: Equities: Russia (RSX) long  21 April 17 19/21 call spread at $.98).


– Edited by Gayle Bryant

Georgio Stoev is futures and options product manager at Saxo Bank.
3y
Market Predator Market Predator
Hello Georgio, I agree Volatility really flat ahead before FED. I'm sad that your last WOW with Mr. VIX is NOT loaded to TF nor Webinar Page. Last one available is dated: Wednesday 22 Feb 2017
Soon MP will have reputation like: permanent complainer.
3y
Georgio Stoev Georgio Stoev
Hi MP, unfortunately we had audio problems and we decided not to record that webinar. Will look into producing something to share on the floor. Were you able to attend the live webinar?
3y
Market Predator Market Predator
No, that's I would like to see recording, but now it's clear.
3y
Georgio Stoev Georgio Stoev
Where are you located? And what time would be best in your time zone to have these?
3y
Market Predator Market Predator
Georgio, I'm located in EU area (GMT+1), no reason for changes. Webinar archive or its copy here on TF works usually fine.
3y
seas seas
Which way Jose?

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