Key Takeaways with Craig
US Equity prices struggled to find a clear direction for most of the trading day but a late afternoon rally led to a higher finish in all four major US indexes. Implied volatility CME’s Equity Index options was little changed on the day. US Treasury yields were little changed on the day, though the Micro 2-Year Treasury yield was up another 5 basis points to about 3.821. The inversion between the 2s and 10s is up to 40 basis points according to CME’s Micro Treasury Yield futures.
CME Energy markets were active again as WTI Crude Oil futures prices were up by about 1.6% and Natural Gas prices were up by nearly 10%. We’ve included a QuikStrike graph below that depicts six month of price (orange line) and implied volatility (blue line) data for Natural Gas futures and options. As you can see, with today’s spike, implied volatility on options that have 30 days until expiration, at nearly 100%, is once again trading at historically high levels.
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