Key Takeaways with Craig
US Equity prices were lower for most of the day but saw losses accelerate into the close. The Nasdaq led losses, down by over 2% while the Dow Jones Industrials and S&P 500 were down by about 1 and 1.5% respectively. Implied volatility in CME’s Equity Index options rose as prices fell though 30-day vol remains under the 3 month average closing level in the E-mini S&P 500 and just over it in the E-mini Nasdaq-100.
The US Treasury yield curve continued to steepen according to the Micro Treasury futures:
Micro 2-Year: -2.4 basis points
Micro 5-Year: +1.9 basis points
Micro 10-Year: +7 basis points
Micro 30-Year: +7.3 basis points
After inverting last week, the yield curve has steepened significantly over the last several trading sessions. Last Tuesday, April 5th, the Micro 2-Year and 10-Year both settled at 2.574. Today, the Micro 10-Year is yielding 2.80, more than 20 basis points higher than the Micro 2-Year which is at 2.57.
Tomorrow morning brings us the release of the March CPI number and Wednesday will get a PPI reading; the latest indicators of inflation in the US. Below we show the QuikStrike volatility curves in both the E-mini Nasdaq-100 and 10-Year note options at CME. As you can see by the heightened volatility levels in the options that expire on Wednesday versus the more deferred expiries, the options market is pricing the potential for relatively larger price moves in these two products after the inflation numbers are released.
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