Treasury Yields Fall

By Craig Bewick
APR 06 2021

US Equity index prices were mostly lower, though by less than 1% on a relatively quiet trading day.  Implied volatility in the index options markets was little changed from yesterday. 

In other CME Group markets, WTI Crude Oil futures prices were higher by about 1% after yesterday’s decline, Gold and Silver prices were higher by about 1% and 1.8% respectively and the US T-Bond futures price rose by about 1 points.  

With today’s rally in the price of the US T-Bond future, the implied yield has declined from about 2.13% on March 19th to about 1.99% today, though remains higher than the yields we saw at the end of February when we began to see US Treasuries sell off at the longer maturities.  Taking a closer look at the options market in the US Bond contract, we find that the current implied volatility in the May contract with about 17 days until expiration sits in about the middle of the range if we look at the same days to expiration in the years since 2015 (though it was still elevated a year ago on the heels of the volatility created by the pandemic lockdowns).  Perhaps somewhat more interesting, as you can see in the bright green line in the QuikStrike graph below depicting the 25 Delta Risk Reversal, Puts are currently trading as high relative to Calls as they have in any year since 2015. 

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. 

Connect with Craig at activetrader@cmegroup.com

Back to top

STAY IN THE KNOW

Get the latest updates with InFOCUS.
Futures & Options trends and insights for active traders.