Key Takeaways with Craig

US Equity prices rose and US Treasury yields fell slightly today as the market continues to look toward tomorrow’s CPI release for the latest reading on the inflationary environment in the US.  While longer term volatility in CME’s Equity Index options markets fell, the options market continues to price in heightened volatility in the options that expire on Friday and after the CPI release.  Specifically,

  • In the E-mini Nasdaq-100 options, implied volatility (“vol”) in the Friday expiration is trading at about 30% while the vol in the options expiring Monday is trading at about 22.5%
  • In the 10-Year Treasury options, vol in the Friday expiration is trading at 6.65% and is at about 5.2% in the options expiring next Wednesday

We haven’t spent much time on CME Group metals products here in the Key Takeaways section lately, but Gold futures prices have risen from about 1,786 to 1,832 in the last couple of weeks.  Gold is another asset class worth watching as the inflation numbers are released due to its historical reputation as an inflation hedge.  Copper has risen lately as well, up by over 3.5% today and up about 7.5% in the last couple weeks.  We’ve also seen an increase in vol in the options markets during this time, as you can see in the blue line in the top QuikStrike graph below.  The blue line in the lower QuikStrike graph, which depicts the 25 Delta Risk Reversal, shows that the Calls have been bid versus the Puts and are currently trading about 2% higher at the 25 Delta strike. 

Today's Future Price Action

Traders Resources

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