At-a-Glance
Key Takeaways with Craig
US Equity prices were lower again today, but again, closed off of the day’s lowest levels. And once again, as you can see from the QuikStrike graph below depicting the 25-Delta Risk Reversal, the Calls were bid relative to the Puts in the E-mini S&P 500, even as the futures price fell. In fact, since Monday’s close, the difference between Puts and Calls in the E-mini S&P 500 has fallen from about 7.6 to less than 4%. Further, the Calls are trading as high relative to Puts as they have since the end of October.
WTI Crude Oil futures prices fell again today and, at under $82/barrel, is as low as we’ve seen it since the beginning of October. The skew trend in the WTI Crude Oil options is the opposite of that which we see in the S&P 500. According to CME CVOL values, the Puts are trading as high relative to the Calls as we’ve seen since late September.
In other CME markets, US Treasury yields were higher today, the move coming in a parallel shift from 2 Years through 10 Years and, perhaps related to that, most major Foreign Currencies were lower versus the US Dollar.
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