Key Takeaways with Craig

US Equity prices fluctuated wildly after Federal Reserve Chairman Jerome Powell spoke this afternoon, but with about an hour left in the cash equity market trading day, stocks were trading broadly higher.  Implied volatility in CME’s Equity Index options was higher earlier in the trading day, but was trading lower than yesterday’s settle at the time of this writing.  The QuikStrike graph below illustrates this as the blue line, which represents current volatility is lower than the orange (yesterday’s settle) across all expiries through the first week of March.

US Treasury yields were just slightly higher after the Fed Chairman’s speech with the Micro 2-Year Treasury yield future up about 2 basis points and the Micro 10-Year up by approximately 5.  The inversion between the two tenors remains above 70 basis points.  CVOL and CVOL skew levels remains relatively unchanged from yesterday’s closing levels in the Treasury options.  We did see some changes in CME’s FedWatch tool, which is now estimating a 9% chance of a 50 basis point hike at the March FOMC meeting, up from about 3% yesterday and just over 0% a week ago. 

Energy markets at CME were active today with WTI Crude Oil futures prices up by over 4% and Natural Gas prices up by nearly 5%.  In CME’s WTI Crude options markets, implied volatility declined but the Calls gained versus the Puts, according to CVOL measures.  

Today's Future Price Action

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