Key Takeaways with Craig
US Equity Indexes rallied today after the release of the PPI number this morning that came in under market expectations. Both the E-mini S&P 500 and Nasdaq-100 prices are nearing 6 month highs and, perhaps unsurprisingly, implied volatility in the options markets is near 6 month lows. Treasury yields dropped slightly after the number was released but recovered throughout the day such that the Micro 2-Year Yield future was down by just about 1 basis point and the Micro 10-Year was up by about 3.5 basis points, slightly narrowing the inversion between the two. CVOL levels in the Treasury options was also near unchanged on the day.
Gold futures prices were up another ~1.5% today and are now approaching the highest levels at which they’ve ever traded. These levels come after a steady increase since early November, when the price of Gold futures was at about 1,630. This 25% rally is depicted in the top graph below with a yellow line. The last 12% of that rally came since the beginning of March of this year, during which time both implied volatility and skew in the Gold options markets has increased. These moves are depicted in the lower graph that shows the CVOL level (blue line) and skew (purple line). So, in other words, as volatility in the options has moved higher generally, the Calls have traded even higher, relative to the Puts, with the recent price rally.
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