Key Takeaways with Craig

US Equity prices attempted to rebound today but sold off aggressively into the cash stock market close and all four major indexes wound up down by nearly 1% or more. Not surprisingly, Implied volatility in CME’s Equity index options which was trading just slightly lower for most of the day, jumped as stock prices broke late in the afternoon.  For the second day in a row, Treasury yields were largely unchanged but the Micro 2-Year Treasury yield futures contract was up by 3 basis points. 

Commodity prices were also little changed today as WTI Crude Oil futures prices were down by just .2% and Gold was down by even less.  A couple of notable exceptions were:

  • Natural Gas futures prices that were down by 5.6%
  • Copper futures prices that were up by over 2%
  • And Silver prices kept rising, up by over 1.6%

We wanted to showcase a QuikStrike tool that presents options open interest in a unique way.  The QuikStrike heat map below shows E-mini S&P 500 options open interest by expiration and strike.  However, rather than just display open interest, it has weighted each strike and expiration by delta.  In other words, the at-the-money strikes, which one would expect to trade near a 50 delta value, would be reflected by multiplying the open interest by approximately 1/2.  

Today's Future Price Action

Traders Resources

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