Key Takeaways with Craig
Despite a PPI reading that came in at a record +11.2% on a Year over Year basis, US Equities rallied and US Treasury yields fell (though very slightly). The financial and commodity markets continue to weigh a number of different factors and now, we can add corporate earnings season to those. Regardless, as we head into the last trading day of the holiday-shortened week, the major US Equity Indexes were up by between 1 and 2%. Implied volatility in the Equity and Interest Rates options at CME Group declined today.
WTI Crude Oil futures prices continued to move higher today, up another 3.5%. With today’s move, the price of front-month WTI Crude Oil is up by over 10% in just the last couple trading days. While we have seen implied volatility actually decline with the price rally, the implied volatility of the out of the money Calls has increased relative to that of the Puts. The QuikStrike graph below of the 25 Delta Risk Reversal (Call volatility minus Put volatility) illustrates this with the blue line.
As we said, tomorrow marks the last trading day of the week due to the Good Friday holiday and we’ll be back to report on the end of week action.
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