Key Takeaways with Craig

US Equity prices rallied out of the gate and continued higher throughout the day as all four major indexes notched gains of 1.5% to 2.5%.  Unsurprisingly, implied volatility in all four major indexes fell with today’s rally and all four are now trading below the 6-month average closing level.  US Treasury rates continued to climb throughout the yield curve and, according to CME’s Micro Yield products, the inversion of the 2-Year and 10-Year is at about 6.5 basis points. 

Commodities at CME Group reversed recent trends, generally rising today.  Grains market prices were up as follows:

Corn Futures: +2%

Wheat Futures:  +4.1%

Soybean Futures:  +3.2%

And WTI Crude Oil futures prices reversed recent declines, up 4.2% today.

Tomorrow brings us the June Employment report which will provide the latest view on the health of the US Economy and labor market.  Also unsurprisingly, this is not lost on the options market in which we see higher implied volatility in the options expiring tomorrow than the more deferred expiries.  According to CME’s Event Volatility Calculator, the options market is pricing in about a 150 point move in the E-mini Nasdaq-100 futures price attributable to the jobs number release.  The QuikStrike graph below of the E-mini Nasdaq-100 term structure of volatility provides a nice illustration of this. 

Today's Future Price Action

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