Key Takeaways with Craig
US Equity Indexes closed mixed, though prices struggled to find a clear direction for most of the day. Implied volatility in the E-mini S&P 500 was near steady on the day (as was the price), while vol in the E-mini Nasdaq-100 rose a bit. Friday morning brings us the November Employment report which will provide the latest reading on the health of the US labor market. The QuikStrike graph below of the volatility curve in the E-mini S&P 500 reflects the market-moving potential of that economic report. As you can see in the blue line, the implied volatility in the options that expire on Friday is trading at elevated levels relative to those that expire next week. You can also see elevated vol levels that expire around December 13th and 14th, perhaps due to the scheduled release of the November CPI number and results of the December FOMC meeting.
In other CME Group markets, Micro US Treasury Yield futures at 2 and 5 Years were near steady while the yields rose by about 5 basis points in the Micro 10 and 30-Year tenors. The inversion between the Micro 2s and 10s remains above 70 basis points. At 155, the CVOL level for the aggregate Treasury CVOL index, which incorporates volatility in the 2, 5, 10 and 30 Year Treasury is just slightly over the six month average of 151.
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