Key Takeaways with Craig

US Equity markets closed out another volatile week with strong gains today as the short end of the US Treasury yield curve declined and longer end yields rose.  The Micro 2-Year Yield was down by about 9 basis points and the Micro 10-Year Yield was near steady so the magnitude of that inversion decreased to about 30 basis points. 

It is also worth noting that, according to CME’s Fed Funds futures via the FedWatch tool, the chance of a 25 instead of 50 basis point hike to the Fed Funds target rate at the December FOMC meeting increased from 24% yesterday to 48% today. 

Let’s take a look back on the week in the format we often use on Fridays using both CVOL and QuikStrike data:

  • With the exception of Treasury Yields, Equities and Natural Gas most of our featured products saw very little net change in price on the week despite another week of seemingly volatile price action
  • Implied volatility declined in almost all of our featured products
  • Natural Gas futures prices declined by almost 20%

As we’ve said, we are going to use CME’s proprietary CVOL indexes to reference volatility changes where available.  If you’d like to learn more about these innovative volatility indexes, please click here

For those of you in the Chicago area, enjoy the beautiful weather being forecasted for the weekend and for everyone else, enjoy your Autumn weekend!  We’ll see you Monday.  

Today's Future Price Action

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