At-a-Glance
Key Takeaways with Craig
US Equity Indexes closed broadly higher today as Treasury yields also rose. The longer end of the yield curve increased by a bit more as the Micro 10-Year Yield was up by about 9.5 basis points and the Micro 2-Year up by more 4.5 basis points, bringing the inversion between the two back below 60.
After rallying yesterday, Natural Gas futures prices broke again today, down by about 8%. The CVOL level has increased in Nat Gas, indicating higher implied volatility in the options, but the CVOL skew has also risen, suggesting that, even with the price decline, the Calls have gained relative to the Puts.
Thursday brings us the December CPI report which will provide the latest look at US inflation. The volatility curve in the E-mini S&P 500 options pictured below underscores the market moving potential of that number release as you can from the elevated vol levels in the options that expire on Thursday relative to the dates around it. CME’s Event Volatility Calculator attempts to use the vol curve to assign a potential futures price move as a result of economic releases and events. Currently, that tool is suggesting a 90 point move in the S&P 500 futures attributable to the CPI release.
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