Key Takeaways with Craig

US Equity prices sold off sharply a day after the FOMC raised its target on the Fed Funds rate by 50 basis points and signaled higher interest rates for longer than perhaps was the consensus view.  Implied volatility in CME’s Equity Index options rose with the price break but, in the options that expire in 30 days,  just to the level it was trading at prior to the CPI release and still below the six month average.  This is depicted in the blue line in the QuikStrike graph below (the six-month average represented by the dotted line). 

In other CME Group markets:

  • The Micro 2-Year Yield was near unchanged on the day while the 10-Year yield was down by about 7 basis points resulting in a 2s versus 10s inversion of about 77 basis points.  According to CME’s CVOL tool, volatility in the Treasury options has declined for 6 days in a row.  The CVOL level in the Aggregate Treasury (2s, 5s, 10s and 30s) has declined from 170 to 130 since last Wednesday. 
  • Gold futures prices were down by 1.7% and Silver was down by over 3.5%.  Both Gold and Silver CVOL levels are trading near 6 month lows.
  • The US Dollar gained versus most major currencies in CME’s FX futures markets with the Aussie Dollar down by over 2.25%.  Despite this price volatility, the options implied volatility has continued to decline.  In fact, at 8.15, the CVOL in the G5 currency basket is at the lowest level in 6 months and well below the six month average CVOL level of near 12. 

So, in a year characterized by volatility, we are still seeing big price moves as we near the last couple of weeks.  Have a great night and we’ll see you tomorrow.  

Today's Future Price Action

Traders Resources

The information in the market commentaries have been obtained from sources believed to be reliable, but we do not guarantee its accuracy and expressly disclaim all liability. Neither the information nor any opinions expressed therein constitutes a solicitation of the purchase or sale of any futures or options contracts. The information on this site compiled by CME Group is for general purposes only. All information and data herein is provided as-is. Additionally, all examples on this site are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or the results of actual market experience. CME Group assumes no responsibility for any errors or omissions. CME Group, its affiliates and any third party information and content providers expressly disclaim all liability with respect to the information and data contained herein including without limitation, any liability with respect to the accuracy or completeness of any data. You use the data herein solely at your own risk. All data and information provided herein is not intended for trading purposes or for trading advice. All matters pertaining to rules and specifications herein are made subject to and superseded by official CME, CBOT, NYMEX and COMEX rules. Current rules should be consulted in all cases concerning contract specifications.

Neither futures trading nor swaps trading are suitable for all investors, and each involves the risk of loss. Due to the leveraged nature of futures trading and swaps trading, it is possible to lose more than the amount deposited in a position. Therefore, traders should not deposit more funds than they can afford to lose without negatively affecting their lifestyles. A trader cannot expect to profit on each trade, and should only devote a small amount of their available funds to each trade. All references to options refer to options on futures.

Past performance is not necessarily indicative of future performance.

CME Group, the Globe Logo, Chicago Mercantile Exchange, Globex and CME are trademarks of Chicago Mercantile Exchange Inc. CBOT is the trademark of the Board of Trade of the City of Chicago, Inc. NYMEX is the trademark of the New York Mercantile Exchange, Inc. COMEX is a trademark of Commodity Exchange, Inc. All other marks are the property of their respective owners. Each of Chicago Mercantile Exchange Inc. (ARBN 103 432 391), The Board of Trade of the City of Chicago Inc (ARBN 110 594 459), the New York Mercantile Exchange Inc (ARBN 113 929 436) and Commodity Exchange, Inc. (ARBN 622 016 193) is a registered foreign company in Australia and holds an Australian market licence.

This site does not constitute a prospectus, product disclosure statement or legal advice, nor is it a recommendation to buy, sell or retain any specific investment or to utilise or refrain from utilising any particular service. Readers should consult their legal advisors for legal advice in connection with the matters covered on this site.

CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). 
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

© 2024 CME Group Inc. All rights reserved.