Key Takeaways with Craig
Today had some of the hallmarks of a traditional “risk off” day as US Equity prices fell, US Treasury prices rose (yields fell) and the price of Gold futures rallied. In addition to all that, WTI Crude Oil futures prices rose another 5% after a major pipeline in Europe was damaged by a major storm. Somewhat interestingly, even as major US Stock Indexes fell by over 1%, implied volatility in CME’s Equity Index options products rose just very slightly.
After rising from 1.737% on March 4th, the Micro 10-Year Yield futures contract rose 64 basis points to 2.38% yesterday before falling to 2.30% today. The difference between the Micro 2-Year and 10-Year, which we’ve been watching lately, is currently at about 13.5 basis points. Implied volatility in the traditional 10-Year Treasury Options markets at CME continued to tick higher today and the Puts are trading as high relative to the Calls as they have since last November, despite today’s price rise. Remember, the traditional Treasury futures (NOT the Micros) are quoted in price, not yield, and those are the contracts on which the Puts have gained in value relative to the Calls as you can see in the QuikStrike Risk Reversal graph below.
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