Key Takeaways with Craig

US Equity prices sold off sharply today with the Nasdaq leading the way, down nearly 4%.  With today’s move, E-mini Nasdaq-100 prices are trading at levels we last hit in the middle of March and, before that, not since May, 2021.  Unsurprisingly, implied volatility in the E-mini Nasdaq-100 options has spiked with the decline in prices.  The QuikStrike graph below depicts one year of Price (orange line) and implied volatility (blue line) in the E-mini Nadsaq-100. 

Sometimes, with major equity price moves like the one we saw today, we see an associated rally in US Treasury prices (decline in yields) in what is sometimes termed a “flight to safety”.  While US Treasury yields did decline, it was not in dramatic fashion.  According to the Micro Treasury Yield futures prices:

  • 2-Year Treasury Yield:  -13.8 basis points
  • 5-year Treasury Yield:  -~10 basis points
  • 10-Year Treasury Yield:  -8.4 basis points
  • 30-Year Treasury Yield:  -4 basis points

Gold was also little changed today and WTI Crude Oil futures prices rallied by about 4%.

This week, CME Group introduced E-mini S&P 500 options that expire on Tuesdays and Thursdays which means we now offer expirations on each day of the week.  These new expiries provide market participants with additional flexibility and precision with which to gain exposure to this benchmark index.  To illustrate the differences in premium for the different expirations, we took a snapshot of at the money (ATM) prices in the options that expire today, tomorrow, Thursday and Friday with about an hour left before settlement.  Remember, premiums are higher than they’d have been yesterday because of the spike in implied volatility today.  Here were the ATM straddle prices:

  • ~ Hour = 7.8 Points ($390)
  • ~ 1 Day = 63.5 Points ($3,175)
  • ~2 Day = 89 Points ($4,450)
  • ~3 Day = 110 Points ($5,500)


Today's Future Price Action

Traders Resources

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