Key Takeaways with Craig

It was a relatively quiet day in CME’s financial and commodity markets, perhaps from tiredness from last night’s Superbowl or some calm before tomorrow’s CPI release that will give us the latest reading on inflation here in the US.  US Equity prices rose today, but, again, perhaps because of the market moving potential of the CPI number, implied volatility in CME’s Equity Index options rose too.  US Treasury prices were little changed with the Micro 2-Year Yield future steady on the day and the Micro 10-Year Yield down by about 3 basis points.  This leaves the inversion between the 2s and 10s at just over 70 basis points. 

According to CME’s Event Volatility Calculator, the options markets are pricing in the following moves in the price of the futures due to the release of tomorrow’s inflation numbers:

  • E-mini S&P 500:  ~55 points
  • E-mini Nasdaq-100:  ~~270 points
  • 10-Year Note:  ~1 full point  
  • Euro FX:  .0087 (.8%)

Below are the QuikStrike volatility curve graphs of both the Nasdaq-100 and 10 Year Treasury Note options markets which do a nice job illustrating the heightened implied volatility in the options that expire after the CPI number is released (Tuesday afternoon in the E-mini Nasdaq-100 and Wednesday afternoon in the 10-Year Note options).  

Today's Future Price Action

Traders Resources

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