Key Takeaways with Craig

Despite a sell-off in US Equities today, the major indexes logged another week of gains amidst earnings reports, some of which beat and some of which missed analyst expectations.  As we often do on Fridays, we take a look back at the net price and volatility changes on the week in some of CME’s major products using QuikStrike data:

  • As we said, Equity Indexes were higher with the E-mini S&P 500 up by 2% and the E-mini Nasdaq-100 up by 3%.  Implied volatility in the options markets declined with the price rally.
  • WTI Crude Oil futures prices wound up near steady on the week but did have some price movement between Monday and today.  Options volatility declined on the week.
  • Treasury yields, down again today, were lower on the week.  It was generally a parallel shift downward in the yield curve so the Micro 2-Year Yield future is still priced over 20 basis points higher than the Micro 10-Year Yield.  Implied volatility came off substantially in the options markets.
  • The Euro FX recovered slightly versus the US Dollar, perhaps correlated with the decline in US Treasury Yields.
  • Natural Gas futures prices were up by 18%.  Implied volatility in the options markets remains historically high, above 90%.
  • Cryptocurrency prices continue to recover with Bitcoin futures up 9%.  Implied volatility rose to 76% but sits in second place behind Nat Gas in the products we looked at. 

As we look ahead to next week, eyes will be on the FOMC announcement on Wednesday, GDP on Thursday and continuing earnings reports as just some of the events with market moving potential.  So, even as we move through the dog days of summer, US financial and commodity markets remain active and we’ll be here reporting on CME’s products throughout. 

For those readers in the Northern Hemisphere, have a great summer weekend and we’ll see you on Monday.  

Today's Future Price Action

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