Key Takeaways with Craig
Despite opening higher after a PPI report that reflected a larger than expected drop, US Equity prices declined with the four major US Indexes closing down by between 1 and 1.7%. US Treasury yields, on the other hand, fell and remained lower with the Micro 2-Year Yield down by about 12 basis points and the 10-Year down by about 15.5. The Micro 2-Year is currently trading about 65 basis points higher than the 10-Year, though the 2-Year Yield, at 4.024 is as close to trading under 4% as we’ve seen since September, at least according to daily settlement prices.
With the price decline in stocks, 30-Day implied volatility in CME’s E-mini S&P 500 and Nasdaq-100 options rose, but both remain well below the 3-month closing average. The CVOL index in CME’s 10-Year Treasury options declined on the day, indicating a lower implied volatility, but the Skew moved from the Calls to the Puts, as you can see in the graph below. The purple line depicts the skew and, as you can see, was trading at around +4 yesterday morning but below -2 this afternoon. And remember, this is skew based on Treasury yield, not price.
In other CME Group markets, WTI Crude Oil futures prices reversed earlier gains to fall by about 1% and Natural Gas futures prices fell by over 8%. This marks the lowest Nat Gas prices we’ve seen in over a year. The CVOL index for Nat Gas fell with the decline in prices but the skew moved further toward the Calls today.
So, as we move further into corporate earnings season, we’ll be here reporting on CME’s markets. Have a nice evening and we’ll see you tomorrow.
Todays Featured Videos
Today's Future Price Action
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.