US Equity Indexes spent most of the day in positive territory but seemed to rally and break with every bit of stimulus news out of Washington. Somewhat interestingly, implied volatility ticked down, even with the uncertainty over the stimulus negotiations.
In other CME Group markets, WTI Crude Oil futures prices rallied by over 3% today, Treasury futures prices were higher throughout the yield curve, Gold and Silver were near steady and Wheat prices, which we looked at more closely yesterday, were down by nearly 2%.
While the Federal Reserve has pledged to keep interest rates at the very short end of the curve low for an extended time, we do see more price action at the longer end of the Treasury yield curve and, with the amount of debt we expect the government to continue to issue, expect that the yield curve will continue to be interesting. Using QuikStrike, we see that implied volatility in the US Bond futures options remains at the high end of a one-standard deviation move over the last 3 months. Also, and as you can see in the QuikStrike graph below, Puts are trading relatively high compared to Calls when compared to the last 3 months as well.
We also wanted to draw our readers attention to a new “Treasury Watch” tool available on CME Group’s website. This tool provides a “dashboard-like” view of the current interest rate environment daily and provides easy access to further functionality CME Group offers with its Treasury Analytics software, also available on its website.