Key Takeaways with Craig
US Equity Indexes traded sharply lower to being the week as Treasury yields continued to move higher. E-mini S&P 500 futures prices were just under 2% lower while the other major US indexes were down by over 2%. The Micro Treasury futures yield curve traded higher in basically a parallel move:
- Micro 2-Year: +~12 basis points
- Micro 5-Year: +~12 basis points
- Micro 10-Year: +~12.5 basis points
- Micro 30-Year: +~9 basis points
Implied volatility in CME options markets of both Treasuries and Equity Indexes traded higher. In fact, 30-Day implied volatility in the E-mini S&P 500 options has risen from about 16.2% last Wednesday to nearly 22% today; a relative gain of over 35%.
The aggregate Treasury CVOL index, which takes into account the implied volatility of the 2,5,10 and 30-Year Treasury options, traded up from 126.9 on Friday to 143.2 today (+13%), marking the highest vol level we’ve seen since the end of December, 2022. The upper CVOL graph below does illustrates this move.
Perhaps unsurprisingly given the move higher in rates, the US Dollar was higher versus most major currencies in CME’s FX futures markets.
Natural Gas prices had another notable move, down nearly 9% on the day. With today’s move, front-month Nat Gas futures prices are as low as they’ve been since about early August, 2020. The CVOL level moved higher with the decline in prices but remains low relative to the last three months. The Puts in Nat Gas options are trading as close to the Calls as we’ve seen in at least the last 6 months. The lower CVOL graph illustrates the substantial shift in skew we’ve seen since early December, 2022.
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