Key Takeaways with Craig
US Equity prices ended the day little changed as the market looks toward corporate earnings reports over the next several weeks. According to CME’s Micro Treasury Yield contracts, US Treasury rates ticked higher, though the 2-Year was little changed. The difference between the Micro 2 and 10-Year yields sits at about 29 basis but the curve between 5 and 30 Years remains relatively flat. Implied volatility (“vol”) in CME’s Treasury Options remains elevated.
Energy futures prices at CME continue to rise, highlighted by Natural Gas, which was up another nearly 6% today. With today’s move, Natural Gas prices are up nearly 100% since the middle of February and 30-day implied volatility is trading at nearly 90%. Additionally, 25 Delta Calls are currently trading at an implied nearly 15% higher than the Puts. We’ve featured Natural Gas once again in the QuikStrike graph below. The yellow line in the top graph shows the current June implied volatility with the June implied volatility in the years 2015-2021 shown by the other colors. The yellow line in the lower graph shows the same comparison, but for price instead of vol. Both illustrate the dramatic moves in each metric nicely.
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