Key Takeaways with Craig
US Equity Index prices struggled to find a clear direction today and wound up near the steady mark, though the Nasdaq was down by about .75%. Implied volatility in CME’s Equity Index options continued to rise today as the market looks towards Thursday’s release of the CPI reading. As we’d expect, implied volatility was particularly elevated in the options that expire on Thursday after the inflation number is released. US Treasury yields rose again, particularly at the longer end where the Micro 10-Year Treasury Yield futures contract was up by about 6 basis points while the 2-Year Micro Yield was up by just about 1 basis point. That brings the 2s versus 10s inversion down to about 42 basis points.
Perhaps somewhat related, most major currencies were lower against the US Dollar in CME’s FX futures markets and the price of Gold and Silver futures declined by about 2 and 3% respectively. As you can see from the two QuikStrike graphs below, both gold (and particularly) silver options are trading at elevated implied volatility levels relative to the last six months.
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