Key Takeaways with Craig

US Financial markets remained active as we begin the third week of January.  Equity prices declined sharply, implied volatility (“vol”) in the options markets continued higher and US Treasury Yields continue to climb.  As we’ve discussed here in the Key Takeaways section, the Nasdaq index was more sensitive to higher interest rates in 2021 and that has continued this year as the E-mini Nasdaq-100 futures price was down by over 2.5%.  30 Day at the money vol has risen from 12.06% to 19.6% in the E-mini S&P 500 this year and from 17.3% to 26.6% in the E-mini Nasdaq-100.  25 Delta Puts are trading about 7% higher than the Calls in the E-mini S&P 500 and about 8% higher in the E-mini Nasdaq-100 options. 

As we said, US Treasury yields continue to increase as well.  According to the Micro Treasury Yield futures we’ve seen the following increases in yield since December 31st:

2-Year:  From .835% to 1.11% (up 7.3 basis points today)

5-Year:  From  1.277 to 1.684% (up 10 basis points today)

10-Year:  From 1.525% to 1.879% (up 9.8 basis points today)

30-Year:  From  1.93%to 2.18% (up 7 basis points today)

Meanwhile, vol in the CME’s Treasury Options (we don’t currently list options on the new Micro Yield contracts) spiked over the last couple of days.  30-day vol in the at the money 10-Year Treasury option has risen from about 4.6% to 5.4% in the last two trading sessions.  This is depicted by the blue line in the QuikStrike graph below. 

Commodity futures prices at CME Group remained active as well with Wheat trading nearly 4% higher, WTI Crude Oil prices up by over 2% and Silver up by nearly 3%.  

Today's Future Price Action

Traders Resources

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