Key Takeaways with Craig

CME Equity Index futures were lower overnight after news out of China suggested that their economy may be slowing hit the wire.  However, US Equity prices recovered throughout the day to end broadly higher.  At the money implied volatility in the E-mini S&P 500 options that expire in 30 days actually increased along with the increase in S&P 500 prices.  However, when we look at the 25 Delta Strikes, we find that implied in the Calls increased from 12.55% to 15.84%, while that in the Puts only increased from 18% to 19.6%.  This is the closest we’ve seen Calls trade to Puts in six months.

According to  CME’s Micro Treasury futures, 2, 5 and 10-Year Yields were all down by about 5-6 basis points while the 30-Year Yield was little changed on the day.  The 2-Year continues to yield higher than the 10-Year, currently by about 40 basis points.  Despite this decline in yields, the US Dollar gained on most major currencies in CME’s FX futures markets; earlier in the day the Euro FX future was down by 1% versus the US Dollar, though it was trading off those lows in late afternoon action.

Finally, WTI Crude Oil also closed above earlier lows, but was still down by about 3% near the end of the day.  As you can see from the orange line in the top QuikStrike graph below, the price of WTI Crude Oil futures is trading near 6 month lows.  The lower QuikStrike graph is that of the 25 Delta Risk Reversal (Call Volatility minus Put Volatility) in the WTI Crude Oil options.  As you can see, after Calls traded by as much as nearly 25% higher than Puts back in March, the Puts are now trading about 6% higher than the Calls.  

Today's Future Price Action

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