As we begin the last 1/3 of the year, US Equity indexes were mixed with the Dow Jones Industrials lower and the Nasdaq slightly higher. Implied volatility in CME Group’s equity options contracts rose, even in the Nasdaq-100 which saw prices rally as well.
US Treasury yields continued to rise today as the Micro 10 Year Treasury Yield futures price rose by about 4 basis points in mid-afternoon action. While we don’t have historical data on these contracts that were launched just a few weeks ago, using the implied yield on CME Group’s Ultra 10-Year Treasury future as a proxy, this is the highest the 10-year yield has been since mid-July according to the Treasury Analytics section of CME Group’s website. Perhaps related to the Treasury yields, Gold futures prices fell by about 2% today and the US Dollar gained versus most major currencies. Remember, the new Micro Treasury Yield futures contracts have a basis point value of $10.00 regardless of the maturity, allowing for simple and precise trading of the entire US Treasury curve.
As you can see from the blue line in the QuikStrike graphs below, implied volatility in the 10-Year Treasury (top graph), Gold (middle graph) and Euro FX (bottom graph) options all ticked higher with today’s price moves.