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.  

Today's Future Price Action

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