Key Takeaways with Craig

US Equity prices began the day higher after some better than expected corporate earnings were announced this morning but stock prices turned negative in afternoon action.  All four major indexes wound up lower, led by the Nasdaq, which was down by over 1%.  Implied volatility (“vol”) in CME’s E-mini S&P 500 options market was trading slightly higher even while stock prices were positive but rallied further when Equity prices fell; 30-day volatility in the E-mini S&P 500 rose to 23.6% from 22.3% at Friday’s close. 

WTI Crude Oil futures prices jumped again by about 4.5%.  The August expiration was trading back over $100 per barrel while the September is trading at about $99 per barrel.  Even with the rally in WTI Crude Oil prices over the last few trading sessions, we’ve not seen a significant change in implied volatility nor skew in the options markets, as 30-day vol is trading right near the 6-month average.  And speaking of CME Energy markets, Natural Gas futures prices continued to rise, up about 35% since the end of June while 30-day vol in the options remains elevated at near 95%.

US Treasury yields were higher early in the day but fell this afternoon, though still wound up higher by about 2-3 basis points on the day.  The shape of the curve did not change dramatically and the 2-Year is still yielding over 20 basis points more than the 10-Year. 

And finally, the Euro FX future has come off of recent lows that saw it trade at parity with the US Dollar, though it remains near 20-year lows as you can see in the orange line in the QuikStrike graph below.  The blue line in the same graph provides a nice illustration of the extremely elevated vol levels in CME’s Euro FX options market.  

Today's Future Price Action

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