Key Takeaways with Craig

US Equity prices fell today, led by the Nasdaq, which was down by about 2%.  We’ve been comparing current implied volatility in CME’s Equity Index options markets to the last 3 or 6 months lately.  However, when we look at the current levels versus the last 12 months, it provides a clearer picture of the elevated levels at which the options are currently trading.  For example,

  • 30-day implied volatility in E-mini S&P 500 options is trading at around 27%; the average closing level over the last year is 17%
  • In the E-mini Nasdaq-100 the current level is 34.4% while the average closing level over the last year is 22.3%

According to CME Micro Treasury Yield futures, yields fell throughout the curve and the decline was more pronounced at the short end.  The 2-Year Yield fell by nearly 14 basis points while the 10s and 30s fell by about 9.5 basis points.  We also saw significant price movement in CME’s Fed Funds futures, particularly in the expirations beginning in October, which was up 7.5 points, and beyond. This was reflected in CME’s FedWatch tool as the probability that the Fed Funds Target rate would be between 200-225 basis points at the September meeting rose from 40% to nearly 60% today and the probability that the target rate would be above 225 basis points fell by about the same amount.  You can see this in the excerpt from the tool pictured below. 

Finally, Gold futures prices continued to rise today and are now up by about 3% in about the last week.

Today's Future Price Action

Traders Resources

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