Key Takeaways with Craig

It’s been an interesting “tale of three markets” so far this week in the major US Equity Indexes.  Prices in both the E-mini Dow and E-mini S&P 500 futures are higher on the week while the futures price of the Nasdaq-100 was lower by about 1%.  Further, even though prices in the Nasdaq-100 are trading lower, implied volatility in the options that expire in 30 days is lower in all three indexes.  Finally, Dow options skew has shifted slightly further toward the Puts even with the futures up by about 900 points while, in the Nasdaq-100, in which the futures are lower, the Calls are trading higher relative to the Puts than they were last Friday.  So it seems that, as the market digests tech earnings news along with a stronger than expected GDP number, the equity indexes have somewhat diverged based on the constituent stocks this week.   We’ve used QuikStrike data to graph this in the images below.  The graphs on the left show price (blue line) and implied volatility (orange line) while the graphs on the right side illustrate the skew via the 25 Delta Risk Reversal (Call implied volatility minus Put implied volatility). 

In other CME Group markets, US Treasury yields were down according to the Micro Treasury Futures.  It was generally a parallel shift in the yield curve as all four tenors were down by about 6-7 basis points so the 2s versus 10s inversion remains at about 40 basis points. According to CVOL, implied volatility in the Treasury options rose in all four maturities. 

Energy prices remained active with WTI Crude Oil futures up by another 1+% and Nat Gas down by nearly 6%.  CVOL volatility levels declined in the options markets in both.  

Today's Future Price Action

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