Key Takeaways with Craig

US Equity Index prices struggled to find a clear direction for most of the trading day but a late afternoon sell-off led to fairly sharp declines at the cash equity market close.  The Nasdaq and Russell 2000 Indexes were down by over 2% and the Dow Jones Industrials and S&P 500 were down by nearly 1% and just over 1%, respectively.  We saw an uptick in implied volatility in CME’s Equity Index options markets, though it remains well below the spike we saw about a month ago. 

Energy markets at CME were mixed as WTI Crude Oil futures prices fell by about 3% while Natural Gas futures prices were up by over 5.5%.  Natural Gas futures prices have gradually risen by about 32% since the middle of March, when they were trading at 4.595 (versus today’s 6.059).  Similar to the graphs we published yesterday, we’ve published May Natural Gas implied volatility, price and skew, both current (bright green) and in each year since 2016.  As you can see from the bottom portion of each graph, the price is substantially higher than it was at this time of year in any year since 2016.  The upper portion of the top QuikStrike graph shows that implied volatility was only this high in 2020.  The upper portion of the lower graph shows that Calls are trading at more of a premium relative to Puts than in any year since 2016. 

Another notable move in today’s markets was in Treasury yields where we saw big increases.  The Micro Treasury futures contracts rose as follows:

2-Year – 2.593 (+ 9.6 basis points)

5-Year – 2.706 (+12 basis points)

10-Year – 2.573 (+ 14.4 basis points)

30-Year – 2.586 (+ 10.3 basis points)

As you can see, it remains a very uniquely shaped yield curve with the 5-Year yielding higher than any other tenor and the 2-Year yielding just slightly higher than the 10-Year. 

Today's Future Price Action

Traders Resources

The information in the market commentaries have been obtained from sources believed to be reliable, but we do not guarantee its accuracy and expressly disclaim all liability. Neither the information nor any opinions expressed therein constitutes a solicitation of the purchase or sale of any futures or options contracts. The information on this site compiled by CME Group is for general purposes only. All information and data herein is provided as-is. Additionally, all examples on this site are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or the results of actual market experience. CME Group assumes no responsibility for any errors or omissions. CME Group, its affiliates and any third party information and content providers expressly disclaim all liability with respect to the information and data contained herein including without limitation, any liability with respect to the accuracy or completeness of any data. You use the data herein solely at your own risk. All data and information provided herein is not intended for trading purposes or for trading advice. All matters pertaining to rules and specifications herein are made subject to and superseded by official CME, CBOT, NYMEX and COMEX rules. Current rules should be consulted in all cases concerning contract specifications.

Neither futures trading nor swaps trading are suitable for all investors, and each involves the risk of loss. Due to the leveraged nature of futures trading and swaps trading, it is possible to lose more than the amount deposited in a position. Therefore, traders should not deposit more funds than they can afford to lose without negatively affecting their lifestyles. A trader cannot expect to profit on each trade, and should only devote a small amount of their available funds to each trade. All references to options refer to options on futures.

Past performance is not necessarily indicative of future performance.

CME Group, the Globe Logo, Chicago Mercantile Exchange, Globex and CME are trademarks of Chicago Mercantile Exchange Inc. CBOT is the trademark of the Board of Trade of the City of Chicago, Inc. NYMEX is the trademark of the New York Mercantile Exchange, Inc. COMEX is a trademark of Commodity Exchange, Inc. All other marks are the property of their respective owners. Each of Chicago Mercantile Exchange Inc. (ARBN 103 432 391), The Board of Trade of the City of Chicago Inc (ARBN 110 594 459), the New York Mercantile Exchange Inc (ARBN 113 929 436) and Commodity Exchange, Inc. (ARBN 622 016 193) is a registered foreign company in Australia and holds an Australian market licence.

This site does not constitute a prospectus, product disclosure statement or legal advice, nor is it a recommendation to buy, sell or retain any specific investment or to utilise or refrain from utilising any particular service. Readers should consult their legal advisors for legal advice in connection with the matters covered on this site.

CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). 
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

© 2024 CME Group Inc. All rights reserved.