Key Takeaways with Craig
Welcome to 2022! We hope all of our In FOCUS readers enjoyed a happy and healthy holiday season. The US financial and commodity markets didn’t waste any time jumping back into it. US Equity index prices rose as did the yield on US Treasuries. According to the prices in CME’s Micro Treasury futures contracts, the 5, 10 and 30 Year Treasury yields were higher by about 11 basis points today (though the 2-year was little changed).
Since we’ve not published since the Tuesday before Christmas, we thought we’d recap the price and volatility action over the last week and a half. Using QuikStrike data, we put together the chart below. As you’ll note, we also added today’s net price and implied volatility change from Friday because a couple of those moves were significant. Keep in mind, to meet publishing deadlines, we compiled this during mid-afternoon action so conditions may have changed in late-day action.
- The stock market got its “Santa Claus” rally as the S&P 500 and Nasdaq-100 both rose over the last week and a half of the year. Implied volatility in CME’s Equity Index options declined substantially and were lower again today.
- WTI Crude Oil prices also rose while implied volatility in the options declined and is trading at near the 1-year average
- Gold futures prices are nearly steady since December 22nd but that is after a substantial decline today
- As we mentioned before, with today’s ~11 basis point increase, the yield on the US 10-Year note is up by about 14 basis points since 12/22
- Implied volatility in Natural Gas options has declined to levels we last saw in September of last year
Looking ahead, we’ve got the FOMC minutes from its December meeting scheduled for release on Wednesday and, of course, the monthly employment report scheduled for Friday. CME Group maintains an economic release calendar on its website at https://www.cmegroup.com/education/events/economic-releases-calendar.html.
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