Key Takeaways with Craig

Just last week we were writing about how the markets “felt” like the traditionally quieter summer months.  That didn’t last long as US Equity prices fell sharply and implied volatility (“vol”) in the options markets spiked today.  Specifically,

  • E-mini S&P 500 futures prices were down by 2% and vol jumped from 17.75% to over 21%
  • E-mini Nasdaq-100 futures prices were down by 2.5% and vol rose from 22.75% to 27.6%

US Treasury yields rose a bit and the curve inverted a bit more with the Micro 2-Year Yield future up by about 6.5 basis points , the Micro 10-Year up by about 4 basis points and the Micro 30-Year only up by about 2 basis points.  The “2s 10s” inversion is at about 32 basis points.

And finally, the Euro FX future is trading below parity with the US Dollar at .9961 which means that it costs slightly less than one US Dollar to buy one Euro FX.  This represents multi-decade low levels for the Euro FX.  The QuikStrike graph below depicts the Euro FX futures price (orange line) and Euro FX options implied volatility for options with 30 days until expiration (blue line).  We were able to go back to 2007 and, as you can see, the Euro has not traded this low against the USD in that time.    While vol is not as high as it was, for example, during the 2008-2009 financial crisis or even the spike we saw during the onset of the COVID-19 pandemic, you can see that it is trading at historically elevated levels.  

Today's Future Price Action

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