Key Takeaways with Craig
CME Equity Index futures prices traded higher overnight and US Equity prices opened higher but turned negative early in the trading day. Ultimately, all four major indexes were lower and implied volatility (“vol”) in the options markets rose today.
US Treasury yields climbed today as follows (using Micro Treasury Yield futures as a proxy)
2-Year Micro Yield: +8.4 basis points
5-Year Micro Yield: +15.2 basis points
10-Year Micro Yield: +13.5 basis points
30-Year Micro Yield: +13.3 basis points
With today’s move, the inversion between the 2s and 10s is now at about 16.5 basis points, again, using Micro Treasury Yield futures as a proxy. Additionally, according to CME’s FedWatch tool, the probability of a 75 basis point hike at September 21st FOMC meeting rose to 72% from 57% on Friday. As you can see in the blue line in the QuikStrike graph below, vol in CME’s 10-Year Treasury Note options rose to levels we haven’t seen since the middle of July.
Finally, most major Foreign Currencies were lower versus the US Dollar and the Euro FX continues to trade below parity with USD.
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