Key Takeaways with Craig

CME markets were extraordinarily active on the last day of the first full week of March as Treasury yields moved sharply lower, as did Equity Index prices, while the FedWatch tool flipped back to indicating a greater likelihood for a 25 basis point hike than a 50 at the March FOMC meeting.  The Micro 2-Year Yield was down by 31 basis points while the Micro 10-Year was down by 23. 

Below is the recap of weekly changes in price and volatility in some of CME’s major products using CVOL and QuikStrike data:

  • E-mini S&P 500 prices were down by almost 5% and Nasdaq-100 was down by over 3%.  Implied volatility in CME’s options markets in both indexes spiked higher.
  • Gold futures prices were up by about 1% while the CVOL level was 17% higher than last Friday.
  • As we mentioned earlier, with today’s drop in yield, the Micro 10-Year yield was down 7% on the week.  The CVOL level in all Treasury options continued to move higher and, according to the CVOL tool, the Treasury yield options swung from a Call skew to a Put skew today.
  • Bitcoin futures prices were down nearly 11% on the week while implied volatility in the options moved higher.

At the time of this writing CME’s website was indicating exchange volume of over 53 million contracts on the day, underscoring the very active trading today.  Have a wonderful weekend and we’ll see you on Monday.  

Today's Future Price Action

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