Key Takeaways with Craig

Major US Equity indexes were mixed today with the Dow Jones Industrials notching small gains while the E-mini Nasdaq-100 was down by more than 1%.  E-mini S&P 500 price and implied volatility (“vol”) were little changed on the day while vol in the E-mini Nasdaq-100 options ticked higher with the price break.  US Treasury yields were slightly lower with the Micro 2-Year down by about 7 basis points and the 10-Year down just by about 3, narrowing that inversion slightly to just over 40 basis points. 

In the absence of outsized price or vol moves in many of CME’s products, we took a closer look at the major Equity Index correlations, as it “felt” like they been experiencing more divergence lately.  Using the QuikStrike cross-correlation tool, we looked at the price correlation of the E-mini Dow, S&P 500 and Nasdaq-100 over the last two weeks and over the last 12 months.  As you can see, over the last 12 months, all 3 indexes are highly correlated with one another:

  • ES vs Dow:  .96
  • ES vs NQ:  .96
  • NQ vs Dow:  .87

However, if we isolate the last two weeks, although still positively correlated, the correlation is not as strong, particularly in the Dow versus Nasdaq:

  • ES vs Dow:  .87
  • ES vs NQ:  .80
  • NQ vs Dow:  .52

So, whether it be from impacts of the bank failures in March, interest rate considerations or other factors, the major US Equity index performance has differed from one another in recent weeks, underscoring the importance of index choice at CME.  

Also, please be sure to check out our first "Metals Insights" video below!

Today's Future Price Action

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