Key Takeaways with Craig
US Equity prices fluctuated after the FOMC announcement that they are raising the Fed Funds target rate by 75 basis points but fell in the last half hour of cash equity market trading as Fed Chairman Jerome Powell spoke. Implied volatility (“vol”) in the E-mini S&P 500 options is trading as high as we’ve seen it since mid-June and the cash equity market closed near the lows of the day. The US Treasury Yield curve became “more inverted” as the Micro 2-Year Yield futures price rose by almost 8 basis points and the Micro 10-Year Yield futures fell by about 4 basis points. The Micro 2-Year Yield futures contract is now trading 53 basis points higher than the Micro 10-Year Yield. We used CME Micro Treasury Futures data to graph the relationship between the 2-Year Yield and 10-Year Yield in two different ways below. The top graph simply shows the settlement price of each contract each day since the beginning of 2022 while the bottom graph depicts the settlement of the 10-Year Yield minus that of the 2-Year.
In other CME Group markets, WTI Crude Oil futures prices fell while Natural Gas prices rose, Gold and Silver futures prices were up slightly and the US Dollar was stronger versus most major currencies. The Euro FX is once again trading below parity with the US Dollar in CME’s FX futures markets.
As we’ve said a couple of times this month, September has historically been a volatile month in the financial and commodity markets and we certainly find ourselves in the midst of some volatility now. Have a good evening and we’ll see you tomorrow.
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