Key Takeaways with Craig
US Equity indexes were mostly higher today as we continue to move through earnings season, led by the Nasdaq, which was up by over 1.5%. The other major indexes were higher but by more modest levels. 30-Day implied volatility in CME’s Equity index options has dropped to levels last seen in the beginning of June.
US Treasury yields were near steady on the day according to the Micro Treasury Yield contracts, which means the 2-Year continues to yield considerably more than the 10-Year. In other CME Group markets, WTI Crude Oil future prices fell by about 1% with the September expiry back below $100 per barrel, Natural Gas prices continued to rebound, up 9% today and Gold prices fell today and continue to trade a low levels we haven’t seen since April, 2021. The orange line in the top QuikStrike graph below depicts the price of Gold futures over the last two years; we drew the line in yellow to illustrate how long it’s been since we last saw prices this low. The bottom graph depicts the 25 Delta Risk Reversal (25 Delta Call volatility minus Put volatility) in the Gold options market. As you can see, Puts are trading as expensive relative to Calls as they have in some time.
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