Key Takeaways with Craig
US Equity prices fell and Treasury yields rose as we begin the first full week of December trading. All four major Equity Indexes were lower today by between about 1.3% on the Dow to over 2.75% on the Russell 2000. In CME’s Micro Treasury markets, the 2-Year Yield was higher by about 11 basis points while the 10-Year was up by about 8, bringing the difference between the two to approximately 77.5 basis points. Implied volatility in both the equity index and treasury options markets traded higher. Perhaps correlated to the rise in yields, the US Dollar gained relative to most major currencies in CME’s FX markets and precious metals prices were down with silver sliding by over 3.5%.
Energy markets were active at CME today. WTI Crude Oil futures prices were higher to start the day after the OPEC+ meeting decision to leave oil output unchanged but declined during the day to wind up down by about 3%. Natural Gas futures prices were down by nearly 10.5% today and are now down about 27% since the Wednesday before Thanksgiving. With the decline in prices, we’ve also seen a material decline in volatility as you can see in the upper graph below that we created using CME CVOL data. Additionally, as prices and volatility have declined, we’ve also seen the Puts gain in value relative to the Calls which the lower graph depicts using CVOL skew data.
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