US Equity Index prices were mostly lower despite continuing solid earnings reports while implied volatility in the options markets ticked higher. US Treasury prices rose for the second straight day (lower yields), with the US T-Bond price up by over a full point. With today’s price move, the implied yield in the US T-Bond contract has dropped by about 13 basis points in the last two trading sessions. Unlike yesterday though, the US Dollar rose slightly against most major currencies. In other CME Group markets, WTI Crude Oil futures prices continued to decline, down another 2% today.
As you can see in the orange line in the QuikStrike graph below, the price of the US T-Bond future is just about at a 3 month high. The implied volatility in the options market, as indicated by the blue line, has increased from below a 1 standard deviation move (over the last 3 months) to almost over a 1 standard deviation move. Remember, CME Group will be launching Micro Treasury Yield based contracts on Sunday, August 15th, (trade date 8/16) which will allow traders to trade a 2-Year, 5-Year, 10-Year and 30-Year Treasury instrument that is quoted in yield and based on the on-the-run issue.