Key Takeaways with Craig
CME Equity Index futures prices were higher overnight but sold off immediately after the higher than expected CPI number was released. Stocks then fluctuated between positive and negative before selling off more sharply in afternoon trading. Ultimately, the E-mini Nasdaq-100 futures price was trading down nearly another 3% in late afternoon action. Implied volatility in the E-mini Nasdaq-100 moved higher and is trading near 2-year high levels.
US Treasury prices behaved similarly after the CPI number was released, as CME’s Micro Treasury Yield contracts initially rose but then fell, at least at the longer end of the yield curve. The Micro 2-Year yield rose by about 3 basis points while the Micro 10-Year yield fell by about 6.5 basis points as the yield curve flattened today. As we’ve written about at length here in the Key Takeaways section, the yield curve has been particularly active this year in both yield increases and also with respect to the shape of the curve. We used settlement price data for CME’s Micro 2 and 10-Year Yield contracts to construct the graphs below. The top graph simply shows the yield increase in both Treasury tenors since the beginning of the year. The lower graph shows the difference between the yield of the Micro 10 and Micro 2-Year contracts. As you can see, the shape of the curve has been volatile and the 10-Year versus 2-Year spread currently sits at below 20 basis points.
Finally, energy markets were active again at CME with WTI Crude Oil futures prices rising by about 5.5% and Natural Gas by about 3.5%.
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