Key Takeaways with Craig

As expected, the PPI reading this morning showed continuing inflation, up .2% on a month over month basis and 9.7% on a year over year basis.  Earlier in the day, US Equity prices were mixed but ultimately wound up broadly lower, with the Nasdaq leading the losses again, down another 2%.  Implied volatility (“vol”) in CME’s Equity options markets rose, with the E-mini Nasdaq-100 vol rallying relatively more, up from 20.5% to over 23.5%.  As we’ve discussed over the past several months, Nasdaq stocks have been more sensitive to potential interest rate increases than the other indexes. 

US Treasuries yields were slightly lower on the day while vol in CME’s Treasury options was slightly lower after the two inflation readings this week, while historically high, weren’t higher than consensus estimates.  The US Dollar was mixed against major currencies at CME today while commodity prices were mostly lower. 

  • CME Grain market prices were down by between 1.5% and 2%
  • WTI Crude Oil was down by about 1%
  • Natural Gas futures prices gave back much of yesterday’s gain, down about 11.5%
  • Metals futures prices were mostly lower

We’ll take this opportunity to showcase one of our QuikStrike called the “VOL2VOL” tool which uses the implied volatility in a particular options contract to illustrate the magnitude of futures price movement that the options market is pricing.  We like this tool because of all the information it conveys with one picture. 

  • As you can see, the tool reflects a one-standard deviation move in the price of the underlying future of about 9 points over the next 34 Days
  • The yellow bars in the graph depict Put volume and the blue depict the Call volume so you can easily see the outsized Put versus Call volume  
  • Delta values are included at the top of the graph so you can see that, for example, the 7 Delta, 65 Put traded 2,269 contracts 
Today's Future Price Action

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