Key Takeaways With Craig

By Craig Bewick
AUG 03 2020

US Equities and WTI Crude Oil futures prices were higher as we begin the historically quiet month of August (though we’re not sure historical norms count right now)… US Treasury futures prices were lower throughout the yield curve with the Ultra T-Bond down over 2 points, indicating higher yields. 

As we promised on Friday, we’re taking a closer look at the Euro FX futures, which saw its biggest monthly gain versus the US Dollar in July and the highest level against the USD since 2018 (Despite today’s decline).   In July, we touched often on the incredible rally in Gold and Silver futures prices as well as the decline in implied yields in the US Treasury futures, but the US Dollar also declined dramatically, particularly in the second half of the month as confidence in the US economy continued to wane. 

 

The Euro FX options markets also saw significant moves as 30-day implied volatility rose from about 6.7% at the beginning of July to as high as about 8.7% a few days ago and was trading at about 8% to end the month.  Also, the skew shifted slightly toward the Calls according to the 25-delta Risk Reversal, as the Calls were trading at an implied about .5% higher than the Puts.  The QuikStrike images below illustrate these moves nicely. 

Remember, CME Group offers several different ways to take a position on the Euro FX versus the US Dollar.  The standard Euro FX futures contract which represents 125,000 Euro, the Micro Euro FX which, at 1/10 the size represents 12,500 Euro and Euro FX options all of which are traded on the Globex central match engine nearly 24 hours per day. 

ABOUT THE AUTHOR

Craig Bewick has spent 25 years in futures and options markets, starting at CBOT and CME working in risk management, regulatory, technology, product management and client development. 

After 8.5 years with WH Trading LLC, Craig returned to CME Group as the Director, Client Development and Sales, working to educate and promote futures trading. Craig currently writes for InFocus Options Corner.

Connect with Craig at activetrader@cmegroup.com

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