At-a-Glance

Key Takeaways with Craig

US Equity prices began the week sharply higher as all four major US indexes rallied by between about 2% and nearly 2.75%.  Despite the price rally and decline in implied volatility (“vol”) today, US Equity prices remain well below a one-standard deviation move and vol remains at the high end of a one-standard deviation move relative to the last 3 months. 

Energy prices at CME were mixed as WTI Crude Oil futures prices rose by about 1% while Natural Gas prices continued to fall, though they rallied from the day’s lowest levels.  Even with the over 25% decline since the first week of June, July Natural Gas futures prices continue to trade at higher prices than we’ve seen at this time of year since at least 2011. 

US Treasury yields rose according to CME’s Micro Treasury futures contract pricing with the long end rising more than the short end.  We currently see the following prices and today’s change in those futures products:

Micro 2-Year Yield:  3.237 (+2.6 basis points)

Micro 5-Year Yield:  3.383 (+4.1 basis points)

Micro 10-Year Yield:  3.310 (+4 basis points)

Micro 30-Year Yield:  3.361 (+5.4 basis points)

As you can see, the curve between 2 Years and 10 Years has steepened (the 10-Year is currently yielding slightly over 7 basis points more than the 2-Year) since it inverted last week though remains very flat between 5 and 30 Years.  In the image below, we included QuikStrike graphs of the 25 Delta Risk Reversal (Call Volatility minus Put Volatility) for both the traditional 2 and 10-Year Treasury options at CME.  As you can see, the Puts were bid relative to the Calls after the FOMC announcement but the Calls have increased relative to Puts over the last week.  However, today, you can see in the 2-Year, the Calls increased while in the 10-Year the Puts increased in volatility relative to the Calls.  Remember, these are the traditional US Treasury instruments which are price, not yield, based.  

Today's Future Price Action

Traders Resources

The information in the market commentaries have been obtained from sources believed to be reliable, but we do not guarantee its accuracy and expressly disclaim all liability. Neither the information nor any opinions expressed therein constitutes a solicitation of the purchase or sale of any futures or options contracts. The information on this site compiled by CME Group is for general purposes only. All information and data herein is provided as-is. Additionally, all examples on this site are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or the results of actual market experience. CME Group assumes no responsibility for any errors or omissions. CME Group, its affiliates and any third party information and content providers expressly disclaim all liability with respect to the information and data contained herein including without limitation, any liability with respect to the accuracy or completeness of any data. You use the data herein solely at your own risk. All data and information provided herein is not intended for trading purposes or for trading advice. All matters pertaining to rules and specifications herein are made subject to and superseded by official CME, CBOT, NYMEX and COMEX rules. Current rules should be consulted in all cases concerning contract specifications.

Neither futures trading nor swaps trading are suitable for all investors, and each involves the risk of loss. Due to the leveraged nature of futures trading and swaps trading, it is possible to lose more than the amount deposited in a position. Therefore, traders should not deposit more funds than they can afford to lose without negatively affecting their lifestyles. A trader cannot expect to profit on each trade, and should only devote a small amount of their available funds to each trade. All references to options refer to options on futures.

Past performance is not necessarily indicative of future performance.

CME Group, the Globe Logo, Chicago Mercantile Exchange, Globex and CME are trademarks of Chicago Mercantile Exchange Inc. CBOT is the trademark of the Board of Trade of the City of Chicago, Inc. NYMEX is the trademark of the New York Mercantile Exchange, Inc. COMEX is a trademark of Commodity Exchange, Inc. All other marks are the property of their respective owners. Each of Chicago Mercantile Exchange Inc. (ARBN 103 432 391), The Board of Trade of the City of Chicago Inc (ARBN 110 594 459), the New York Mercantile Exchange Inc (ARBN 113 929 436) and Commodity Exchange, Inc. (ARBN 622 016 193) is a registered foreign company in Australia and holds an Australian market licence.

This site does not constitute a prospectus, product disclosure statement or legal advice, nor is it a recommendation to buy, sell or retain any specific investment or to utilise or refrain from utilising any particular service. Readers should consult their legal advisors for legal advice in connection with the matters covered on this site.

CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). 
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

© 2022 CME Group Inc. All rights reserved.