Key Takeaways with Craig

US Equity prices were higher today, led by the small-cap Russell 2000 which was up by over 1.5%.  Incidentally, while implied volatility (“vol”) has declined in all four major indexes since heightened levels we saw in the middle of January, only in the Russell 2000 is it trading below the 3-month average. 

US Treasury yields rose according to CME Group’s Micro Treasury Yield contracts, with the 2-Year rising relatively more at nearly 5 basis points.  Implied volatility in the 2-Year options rose again and is trading near levels we haven’t seen since the pandemic-driven volatility of March, 2020. 

After settling over $91 per barrel a couple of days ago, WTI Crude Oil futures fell again today and is currently trading under $90 (March expiry).  While not dramatic, we have seen the Puts bid versus the Calls in the WTI Crude Oil options.  On Friday, the 25 Delta Puts were trading about 1% over the Calls and today that has increased to about 4%. 

As the market continues to look toward Thursday’s CPI reading for the latest indication of the inflationary environment, we’ve included a similar QuikStrike graph to yesterday’s though this one for the E-mini Nasdaq-100 volatility curve.  As you can see, like we saw in the 10-Year Treasury yesterday, the options on the E-mini Nasaq-100 that expire on Friday (after the CPI report release) are trading at relatively heightened vol levels.  

Today's Future Price Action

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