Key Takeaways with Craig

US Equities traded mixed for most of the day but a late day rally led to broad gains to begin the week.  30-day implied volatility in the E-mini S&P 500 options fell slightly, but, as you can see in the QuikStrike graph below (top graph), the vol in the options that expire on Wednesday, after the FOMC decision on its Fed Funds target rate, spiked higher.  The blue line in the graph represents the current volatility level while the orange line represents Friday’s settlement levels. 

Treasury yields saw a parallel shift higher in the curve with the Micro 2 and 10-Year yield futures up 10 basis points and the Micro 30-Year up by about 8.  The aggregate Treasury CVOL level rose again today and the 2-Year Yield CVOL is trading at its highest level since at least the beginning of 2014; the earliest date for which we have CVOL history.  This is illustrated in the lower graph below.  Also, as we approach Wednesday’s FOMC decision, it is worth noting CME’s FedWatch tool is now reflecting at 22.5% chance of no change in the target rate and a 77.5% chance of a 25 basis point increase. 

In other CME markets, WTI Crude Oil futures prices were up by about 1% but remain below $68 per barrel, Nat Gas was lower by about 4%  and Bitcoin futures prices were trading about 4% higher than Friday’s close.  30-day at the money implied volatility in Bitcoin options, at about 68.4%, is trading as high as it has since about Thanksgiving of last year and the Calls are trading about 3% higher than the Puts in the 25 delta strikes.  The Puts were about 7.5% higher than the Calls just two weeks ago.  

Today's Future Price Action

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