US Equity Indexes were higher overnight after several media outlets declared Joe Biden the winner of the US Presidential election. Then, after Pfizer reported that its Covid-19 vaccine is more than 90% effective, the Dow Jones Industrials, S&P 500 and Russell 2000 shot higher and were trading between 3 and 5.5% higher in late afternoon action. However, the stock market did seem to be taking its cues more from the vaccine news as the Nasdaq was lower as the “stay at home” stocks underperformed the stocks that would presumably benefit from an “opening up” of the economy. In fact, the losses accelerated in the Nasdaq into the cash market close as the index dropped by 2%.
Other CME Group markets saw major price moves as well. WTI Crude Oil futures prices seemed to react to the vaccine news as well as it rallied by about 8.5% today. US Treasury and Gold futures prices declined perhaps as part of a “risk-on” trade. In fact, the on-the-run cash 10-Year Treasury yield hit .975% (the highest level since March) before trading settling back to around 95%. The 10-Year US Treasury futures price was down by about 1 point while the Ultra T-Bond future was down 6 points. Gold and Silver futures prices were down by about 4.3% and nearly 6% respectively.
Despite the price moves, implied volatilities in CME Group’s options markets didn’t see substantial moves. However, the skew did shift in several asset classes. Perhaps most notable is the skew in the E-mini S&P 500 options where the Calls are trading at about as high a level relative to the Puts as we’ve seen in 6 months. The QuikStrike graph below provides a nice illustration.
Have a great night and we’ll be back to see what tomorrow brings.