Key Takeaways with Craig

Once again, due to conference schedules, we are writing the Key Takeaways column during early afternoon trading action.  And once again, we have a lot of action in the financial and commodity markets.  Major US Equity Indexes were down by between .5% and 3% on the day and US Treasury Yields were sharply lower again today.  Specifically, the Micro 2-Year Yield futures contract was trading 30 basis points lower at about 3.88 and the Micro 10-Year Yield was down by 10 basis points to 3.46.  This represents a decline of about 115 basis points in the last week in the 2-Year yield.  While things can certainly change in the last couple of hours of trading in the current session, we’ve included the latest graphs of the Micro 2 and 10-Year Yields, volatility and skew below.  As you can see, volatility continues to move higher (as measured by the CVOL level) and the skew continues to shift dramatically toward the Puts on the Yield. 

Other notable moves in CME’s markets include:

  • WTI Crude Oil futures prices are down by about 5.5% to under $67.50 per barrel.  The CVOL level in WTI Crude Oil options has risen from about 38 to over 52 since Friday and the Puts are trading as high relative to the Calls as they have since August of last year. 
  • Despite the lower yields, the US Dollar rose in CME Foreign Currency markets versus most major currencies.  The CVOL index in the aggregate G5 FX rose the levels we last saw in November, 2022.
  • Copper futures prices were down by about 3% and are at the lowest levels since the beginning of the year. 

So that’s where we stand with a couple of hours in Wednesday’s trading session as volatility continues in the financial and commodity markets.  Have a nice evening and we’ll be back tomorrow.  

Today's Future Price Action

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