Key Takeaways with Craig
Once again, US Equity Index prices struggled to find a solid direction but, today, a late day rally led to a positive close. Implied volatility was higher earlier in the day but fell with the price rally.
US Treasuries saw a steepening move again today as the Micro 2-Year Treasury yield futures contract fell by about 5.2 basis points while the Micro 10 and 30-Year Treasury yield contracts rose by about the same. With the price moves we’ve seen over the last couple of days, the Micro 10-Year yield is now trading about 15 basis points higher than the 2-Year after the inversion we saw last week.
Natural Gas futures prices rose again and remain at historically high levels. The May expiration was up by nearly 6.5% and volatility continued to rise in the options markets. Similar to the graphs we showed the other day, we compared current implied volatility and price to that which we saw at this time of year in the years since 2017. The three QuikStrike graphs below show May, June and July implied volatility (upper portion) and price (lower portion) with the current level depicted by the gray line. With days to expiration on the horizontal axis, you can clearly see that in all three contract months, Nat Gas prices are significantly higher than we’ve seen in any year since 2017. Implied volatility was close in 2020 but also is trading at historically high levels.
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