Key Takeaways with Craig
A bit more price action characterized the last day of the week as US Equity prices were broadly lower while US Treasury yields were higher. Here’s our lookback on the net price and volatility changes on the week in some of CME’s major products using QuikStrike data:
- US Equity Indexes were lower on the week while implied volatility in the options markets increased.
- WTI Crude Oil futures prices were down by 2% on the week but were down nearly 6% on the week as of Tuesday. Implied volatility in the options increased with the volatile price action.
- The Euro FX futures price is down over 2% on the week and is once again approaching parity with the US Dollar. Implied volatility in the options spiked this week.
- The Micro 10-Year Yield is up about 12.5 basis points on the week. With today’s steepening move, the magnitude of the inversion of the 2s versus 10s in the Micro Treasury futures products has fallen, but remains at about 30 basis points.
- With the recent price break in cryptocurrencies, Bitcoin futures prices fell by about 12% on the week. Implied volatility in the options increased but still remains lower than that of Natural Gas, which continues to trade at historical price and vol levels.
So, what was a relatively quiet week saw a little more action today to close it out and implied volatility increased in many of CME’s major products. Have a wonderful summer weekend and we’ll see you all on Monday.
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