Key Takeaways with Craig
Despite the continuing rally in WTI Crude Oil futures prices, which were up another 7% today, the markets exhibited some of the traditional “risk-on” characteristics. US Equity Index futures prices rallied sharply, as did US Treasury Yields. Wheat futures prices had another notable move, up an additional 7.5% today and are up nearly 40% since the beginning of February.
The move in Treasury yields was reflected in CME Group’s Micro Yield products, which were up as follows:
- Micro 2-Year Yield +23 basis points
- Micro 5-Year Yield +20 basis points
- Micro 10-Year Yield +18 basis points
- Micro 30-Year Yield +16 basis points
Despite the spike higher in Yields today (decline in Treasury Prices, which move inversely) we continue to see a Call Skew in CME’s standard 10-Year Treasury note options which are quoted in price. As you can see in the QuikStrike graph below which depicts the 10-Year Treasury Note Risk Reversal (Call implied volatility minus Put implied volatility), Calls continue to trade at a premium to the Puts.
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