Key Takeaways with Craig

US Equity Indexes sold off again today to finish another week in the “red” and US Treasury yields were little changed, as the market looks to next week’s FOMC decision on its Fed Funds target rate.  CME’s FedWatch tool is currently showing an 84% probability of a 75 basis point hike and 16% probability of a 100 basis point hike at that meeting.  So, as we’ve moved through the halfway point in the historically volatile month of September, let’s take a look at the net price and implied volatility (“vol”) changes in some of CME’s major products so far this month using QuikStrike data:

  • US Equity Index prices are down substantially and implied volatility in the options markets has risen sharply. 
  • WTI Crude Oil futures prices are down by about 14% month to date while vol is up a bit.
  • Euro FX futures prices are down versus the US Dollar but the Euro is trading above parity again.
  • Micro 10-Year Treasury Yields are up 27% (about 75 basis points) this month and vol in the options is also higher.  The 2s versus 10s inversion is currently at about 42 basis points (the Micro 2-Year Yield futures contract is priced about 42 basis points higher than the Micro 10-Year Yield). 
  • Natural Gas prices are down by about 5% but a lot of that decline has come in the last couple of trading days.  Vol remains elevated at about 87%.
  • Cryptocurrency prices have fallen recently which has led to a 19% decline this month in the price of Bitcoin futures.

That’s where we stand as we look to Wednesday’s FOMC decision on the Fed Funds target rate.  As always, we wish our readers a happy and safe weekend and we’ll see you on Monday.  

Today's Future Price Action

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