Key Takeaways with Craig
It was a relatively quieter day to begin the first full week of March that includes some events with market-moving potential such as Fed Chairman Jerome Powell’s speech tomorrow at 9:00 AM Central time and the February Employment situation report on Friday, among others. US Equity prices wound up little changed on the day, although the Small Cap Russell 2000 index was lower by almost 2%.
There were a couple of other notable moves as well:
- Natural Gas futures prices fell by about 13.5%. While implied volatility in the options market was little changed, the skew is nearly as low as its been in at least a year, indicating the Puts are trading at an implied as close to the Calls as we’ve seen in a long time, according to CME CVOL.
- The Micro 2-Year rose by another nearly 7.5 basis points and the 10-Year by less than 2. This brings the inversion between the two to about 85 basis points; nearly as wide as its been since the yield curve inverted. Implied volatility in the Treasury options markets continued to rise and is trading at the highest level we’ve seen since mid-December. The aggregate Treasury CVOL graph, which takes into account the volatility of the 2,5,10 and 30 Year treasuries is shown below.
- WTI Crude Oil futures prices are back over $80 per barrel.
Finally, as the market awaits Chairman Powell’s speech tomorrow, CME’s FedWatch tool is reflecting about a 31% probability of a 50 basis point hike to the Fed Funds target at the March 22nd meeting.
Have a nice evening and we’ll be back tomorrow to report on the market reaction to the Chairman’s comments.
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