Key Takeaways with Craig

US Equity prices were lower for most of the day, attempted a rally immediately after the July FOMC minutes were released, but then fell again to close broadly lower.  US Treasury yields were higher with the Micro 2-Year yield up about 4 basis points and the 10-Year up by about 8 basis points.  The 2-Year continues to yield more than the 10-Year, currently by about 38 basis points.  According to CME’s FedWatch tool, the probability for a 50 basis point hike versus a 75 basis point hike at the September FOMC meeting increased slightly from 59% to 63.5%. 

Other CME Group markets were relatively quiet today with WTI Crude Oil futures prices rising by about 1.3% and Natural Gas prices declining by about 1%, though remaining historically high.  Bitcoin futures prices were down by about 3%. 

Because we’ve seen overall implied volatility (“vol”) come down gradually in the E-mini S&P 500 and Nasdaq-100 options at CME, we wanted to give our readers some historical perspective.  Using QuikStrike data, we graphed implied volatility in both index options for options that expire in 30 days on the right side of the image below.   As you can see, implied volatility has trended downward over the last three months. However, the red line in the graphs on the left side of the image represent current implied volatility in the September expiration of both index options.  The other colors represent the September implied volatility in the years since 2017.  As you can see, even though vol has declined, when you look at in this historical context, it remains relatively high.  

Today's Future Price Action

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