Key Takeaways with Craig
Despite a CPI reading that was slightly higher than the consensus forecast and the highest reading in more than 40 years, US Equities spent most of the day in positive territory. However, a late day price break led to slightly lower closing levels in 3 of the 4 major US Indexes (the Russell 2000 managed a slight gain). Even with the price break, implied volatility in CME Group’s Equity Index options fell today. We thought it was worth updating the term structure of volatility chart that we showcased yesterday that showed a significantly elevated level of vol in the E-mini Nasdaq-100 options that expire tomorrow. In the QuikStrike graph below, the red line depicts yesterday’s volatility curve, beginning with tomorrow’s April 13th expiry while the blue line shows us today’s levels. As you can see, much of that premium that the market was pricing in yesterday in tomorrow’s expiration has been removed and volatility levels have come down generally.
In other CME Group markets, WTI Crude Oil prices rallied by over 6% and the grains and gold markets also moved higher. The US Treasury market, which we’ve been watching for the last couple of months continued its rather rapid steepening today as the Micro 2-Year yield was down by 12.5 basis points and the 10-Year was down by about 5 basis points. The spread between those two points on the curve, which was negative just over a week ago, has widened to nearly 30 basis points.
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