Key Takeaways with Craig
It was a relatively quiet day in CME’s Financial and Commodity products as US Equity Index prices were slightly higher and Treasury yields also rose slightly. The Micro 2-Year Treasury was near steady on the day while the 5, 10 and 30 Years were up by about 4 basis points, narrowing that 2s versus 10s spread by just a bit.
In CME’s FX futures markets, the US Dollar was higher versus most major currencies after this morning’s report showing stronger than expected retail sales. After todays’ move, the Dollar was as or nearly as high against several major currencies as we’ve seen it since the second week in January. The three graphs below show the underlying futures price (dotted line) and CVOL (implied volatility – solid line) level for the Japanese Yen, Euro FX and British Pound versus the US Dollar since the beginning of 2023. As you can see, in all three currency pairs, options volatility has generally declined over the first 6 weeks of the year. The Yen is at the lowest price point versus the Dollar that we’ve seen this year and the other two are approaching the 2023 lows.
Looking ahead, we’ve got the PPI reading due to be released tomorrow, giving us another look at inflation and, among other things, the GDP report coming out next Thursday.
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