Key Takeaways with Craig

What began as a relatively quieter month than we’d seen for a lot of 2022 went out with more volatility as US Equity markets have strung together several “down” days since Federal Reserve Chairman Jerome Powell spoke at the Jackson Hole economic summit. 

So, as the sun sets on August and as we head into the Labor Day Holiday in the US, unofficially marking the end of summer, we take a look back at net price and volatility changes over the month of August in some of CME’s major products using QuikStrike data:

  • E-mini S&P 500 and Nasdaq-100 have declined by 3 and 4% respectively while implied volatility in the options markets have moved sharply higher.  The majority of both of these moves has happened since Chairman Powell’s remarks last Friday.
  • With the price break in WTI Crude Oil futures over the last couple days, prices are down about 8% on the month.  Implied volatility in the options has risen. 
  • The Euro Fx futures price is down about 2% versus the US Dollar but is off the lows of the month and is trading slightly above parity.  Implied volatility in the options remains elevated versus historical norms.
  • US Treasury yields have continued to climb higher.  Using CME’s Micro Treasury Yield futures as a proxy, the inversion between the 2s and 10s is at about 32 basis points.
  • Soybean and Corn prices moved in divergent directions but implied volatility declined in the options markets of both.
  • Nat Gas futures prices and implied volatility remain at historically high levels.
  • With the recent price break in cryptocurrencies, CME Bitcoin futures prices are down about 17% on the month.

As we head into the traditionally volatile months of September and October, it would seem there remain more questions than answers regarding the US and Global economy.  We’ll be here reporting on CME financial and commodity markets throughout.   

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