Key Takeaways with Craig

US Equity prices began the day sharply lower after two days of strong gains but gradually recovered throughout the day to end up just slightly below yesterday’s closing prices.  Implied volatility in CME’s Equity Index options markets, which was higher earlier in the day, came off and was trading near steady from yesterday’s close in late afternoon action.  US Treasury yields were higher with the Micro 10-Year yield up by about 14 basis points and the Micro 2-Year up by about 5 basis points, leading to about a 9 basis point reduction in the 2s versus 10s inversion.  Perhaps related somewhat to the higher Treasury yields, most major currencies were lower versus the US Dollar in CME’s FX futures markets. 

“OPEC+” announced that it would cut oil production by 2 million barrels per day earlier in the day.  WTI Crude Oil futures prices rose by about 1.5% and implied volatility in the options markets fell from about 54% to about 51%. 

Financial and commodity markets will be watching the September Employment report that is due out this Friday and the September CPI report that is due out next Thursday, October 13th.  Because CME’s E-mini S&P 500 options have expirations each day of the week, we were able to use QuikStrike to provide a nice graphic illustration of the volatility differences in the options that expire on those two days.  As you can see in the graph below, the options market is pricing in a significant premium on the options that expire after those two economic reports than on the surrounding options expirations.  

Today's Future Price Action

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