Key Takeaways with Craig

US Equities rallied out of the gate and continued higher, closing near the day’s highest levels.  All four major indexes logged strong gains today, led by the Russell 2000, which was up by 3.5% and the Nasdaq, which was up by over 3%.  Implied volatility in CME’s Equity Index options markets declined and the 30-day vol is now trading below the 6-month average closing level. In other CME group markets,

  • Corn and Soybean futures prices were lower while Wheat was little changed.  Soybean implied volatility has rallied from about 19% to 31% since the end of May. 
  • WTI Crude Oil futures prices rallied again with the September expiry now trading at over $100 per barrel.
  • US Treasury Yields were higher by about 5-6 basis points across the curve.  It was another parallel shift upwards so the 2 Year and 10 Year yields remain inverted by over 20 basis points, according to CME’s Micro Treasury Yield futures prices.

Finally, cryptocurrencies rallied again, including CME’s Bitcoin and Ether futures prices.  Bitcoin futures prices have risen 22% since last Tuesday’s close (7/12) though implied volatility in the Bitcoin options remains near the upper range of a one-standard deviation move over the last 6 months.  Using the 25 Delta Risk Reversal as a measure of skew, the out of the money Calls are trading as high relative to the Puts as they have since the beginning of May.  As you can see in the QuikStrike graph of the Risk Reversal below, the 25 Delta Puts are currently trading about 5% higher than the Calls.  As you can see in the same graph, this difference got as large as 33% in mid-June when the price of Bitcoin dropped from around 30,000 to 20,000.  

Today's Future Price Action

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