US Equity prices were little changed but mostly lower today as they finished out a week characterized by price declines. With a couple of hours left in the trading week, the September E-mini S&P 500 futures price was down by about 1% on the week, implied volatility was higher and, somewhat interestingly, the Risk Reversal in the September End of Month options was little changed, meaning that the out of the money (25 Delta) Calls and Puts moved by about the same amount.
We wanted to take a second to make sure everyone was aware of CME Group’s Trading Challenge that begins Sunday night. Registrants will have an opportunity to trade two of the newest “Micro” products, the Micro WTI Crude Oil and Micro 10-Year Treasury Yield in CME’s simulation environment for a chance to win cash prizes.
Ahead of that challenge, we presented the two graphs below. The upper portion of the top graph (blue line), powered by QuikStrike, shows the WTI Crude Oil options Risk Reversal (25 Delta Calls minus Puts). As you can see, Calls are trading relatively high to Puts versus the last three months. The yellow line in the same graph shows the recent price appreciation in the future.
The bottom graph, which is an excerpt from CME Group’s Treasury Analytics tool, displays the 10-Year yield over the last three months. As you can see, from about the fourth of July through present, it has traded in a range of approximately 1.2% to 1.4%.
We encourage all of our In FOCUS readers to learn more and register for the trading challenge here.
And as always, we wish all of our readers a happy and healthy September weekend.