Key Takeaways with Craig
CME Group markets were more active today as US Equity prices sold off and Treasury yields dropped. Specifically, E-mini S&P 500 futures prices were down by over 1.5% and Nasdaq-100 prices declined by nearly 2%. In CME’s Treasury markets, the Micro 2-Year Yield declined by about 22 basis points while the Micro 10-Year fell by about 12.5 basis points, thereby narrowing that inversion by about 10 basis points today. According to CME Group’s FedWatch tool, the chance that the Fed hold rates steady at its May 3rd meeting rose from about 10% to 30% today.
In CME’s commodity markets, WTI Crude Oil and Natural Gas futures prices both declined today, while Gold rose modestly, to back over $2,000 per ounce. Despite the decline in yields, the US Dollar gained versus most major currencies in CME Group’s FX futures markets.
CME’s options markets reacted as well, with implied volatility increasing in almost all asset classes. The blue line in the CVOL graph below shows the uptick in implied volatility in the 10-Year options and the purple line shows the decline in skew (in yield terms). This means that the Puts gained relative to the Calls today in 10-Year Treasury yield.
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