Key Takeaways with Craig

US Equity Indexes reversed earlier losses to close broadly higher while implied volatility in the options markets fell as prices rallied.  US Treasury yields fell today in more of a parallel shift of the yield curve instead of the curve flattening action we’d seen recently.  Specifically, according to the Micro Treasury Yield futures contracts:

  • 2-Year Yields fell by about 7 basis points
  • 5-Year Yields fell by about 9 basis points
  • 10-Year Yields fell by about 8.5 basis points
  • 30-Year Yields fell by about 5 basis points

Gold futures prices fell by nearly 2% to levels that we haven’t seen since late February while WTI Crude Oil futures were down by about 3% but higher than the lows we saw earlier.  Natural Gas futures prices continued to be volatile, up by about 5.5% today.

The US Dollar continues to show strength relative to other major currencies in CME’s FX futures markets (perhaps contributing to the weakness in the price of gold).  We’ve graphed the futures price of three of CME’s major FX products below.  The orange line in the graphs below represents the price of the (in order from top to bottom), Euro FX, Aussie Dollar and Japanese Yen.  As you can see by the downward trend in all three currencies, the US Dollar has been relatively strong recently.  Also, implied volatility in the options markets is trading at relatively high levels, particularly in the Aussie Dollar and Yen markets, as you can see in the blue lines on the graphs.  

Today's Future Price Action

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