Key Takeaways with Craig

US Equity prices rose sharply today after Retail Sales that beat expectations were announced this morning.  As today marks roughly the halfway point in July, we thought we’d take a look at net price and volatility changes over the first 2 weeks of the 2nd half of the year using QuikStrike data.  Even though few of the following markets have moved in a straight line, here are some highlights of the net changes:

  • E-mini S&P 500 and Nasdaq-100 prices are up by 2% and 4% respectively.  Implied volatility in the options has come off substantially.
  • WTI Crude Oil futures prices are down by about 7% though implied volatility has risen. 
  • Euro FX futures prices are down by about 4% and implied volatility has by a relative 36%.  Yesterday, futures prices in the Euro FX traded at parity with the US Dollar for the first time in about 20 years.
  • The Micro 10-Year Treasury yield has fallen by about 7 basis points.  The Micro 2-Year Yield, on the other hand, has risen by about 13 basis points.  The 2s versus 10s remains inverted by over 20 basis points, again using the Micro Treasury futures as a proxy. 
  • Natural Gas futures prices after falling from historic highs have rallied again.  Implied volatility in the options has skyrocketed and, at 94.5%, is the highest among products we looked at, eclipsing Bitcoin vol, which is trading at about 74%. 

So, as we head into the 2nd half of July, volatility continues to define many of CME’s major asset classes.  We’ll see everyone back here on Monday.  Have a great weekend.

Today's Future Price Action

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