Us Treasury Yields Rise

By Craig Bewick
NOV 22 2021

The fact that today marked the first day of a Thanksgiving Holiday shortened week did not mean that there was a lack of financial news nor price movement.  President Biden announced that Jerome Powell would continue as the President of the Federal Reserve.  The prevailing sentiment was that he would be a more “hawkish” Fed Chairman than the other candidate many thought was being considered for the appointment, Lael Brainard.  On the news, the Micro US Treasury Yield futures rose (prices of US Treasuries fell), the US Dollar rose versus most major currencies and Gold futures prices fell by over 2.5%.  US Equity Indexes were mixed on the day with the Dow Jones Industrials holding onto a slight gain while the Nasdaq, which has been more sensitive to interest rates over the last several months, fell by over 1.25%. 

The Micro Treasury Yield futures contracts were up by the following:

2-Year:  ~8.5 basis points

5-Year: ~11 basis points

10-Year: ~8.5 basis points

30-Yea: ~6 basis points

So, while the short end moved up a bit more than the 30-Year, it was more of a total shift upward in the yield curve.  Because we don’t currently list options on the new Micro Yield contracts, we used the options on the traditional 10-Year Treasury Note future in the QuikStrike graph below to depict both the price and implied volatility moves today.  As you can see in the graph below, implied volatility (blue line) spiked on today’s news while prices fell (remember prices and yields move inversely to one another). 

Like we said at the onset, the Thanksgiving Holiday did nothing to dampen volatility today so we’ll be back tomorrow to see what it brings!

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

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