Key Takeaways with Craig
US Equity Indexes traded mostly higher today, but finished off of the day’s high levels as stock prices charged out of the gate this morning to begin the week. The Nasdaq index led gains, up by about .75% on the day, while the other major US indexes closed just slightly higher. After spiking higher at the end of last week, implied volatility in the E-mini Nasdaq-100 options declined with today’s price rally.
In CME’s Treasury Futures markets, the Micro 2-Year Treasury Yield future was near steady on the day while the Micro 10-Year declined by about 2.5 basis points. While not a relatively big move, it does widen that inversion again, and to the largest difference we’ve seen since the curve inverted at the end of last June. The top QuikStrike image illustrates this inversion. Implied volatility continued to increase as you can see in the lower CVOL image below, with the green line representing the CVOL level in the 2-Year Treasury options and the orange line representing the 10-Year. The skew in the yield shifted toward the puts as well.
In other CME markets, Natural Gas futures prices rallied another 7% today and, while still well below the 3-month average, are up by almost 25% since 2/21. Even with this price move, volatility in the options continued to come down and the skew moved toward the Puts today.
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