Us Dollar Price And Treasury Yield Continue To Rally

By Craig Bewick
JAN 07 2021

US Equities were broadly higher a day after the US Capitol was locked down but also after Congress re-convened to confirm Joe Biden as the next US President.  Implied volatility in the Equity Index options at CME Group fell after it rose during the unrest in Washington, DC.  CME Group commodity market prices were slightly less active today, though Gold, Silver and WTI Crude Oil futures prices all rose slightly. 

US Treasury futures prices continued to decline today, presumably on the theory that the US Government spending will increase with the democrat-controlled House, Senate and Presidency.  Since, as we know, price and yield move inversely to one another, this has resulted in higher yields, particularly at the long end of the US Treasury curve.  Looking at the options on the US Bond contract , the Calls have been bid over the Puts over the last several days, according to the risk reversal.

Finally, after hitting long-time lows against most major currencies at the end of 2020, the US Dollar rallied again today.  Two notable recent moves are depicted in the QuikStrike images below.  The blue line in the upper image shows the dramatic decline in implied volatility in the British Pound options after Brexit negotiations were completed.  The orange line in the lower graph shows the sharp decline in the Japanese Yen versus the US dollar price over the last few days.

 

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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