Key Takeaways with Craig
US Equity prices traded lower today, but Dow, S&P 500 and Nasdaq were all down by less than 1%. Implied volatility CME’s Equity Index options markets rose today, particularly in the E-mini S&P 500, where 30-day vol is trading near the 3-month average. The Micro 2-Year Treasury yield was down by about 23 basis points (bps) earlier in the trading session but had risen to down about 16.5 bps in late afternoon trading action. The Micro 10-Year was down by less than 4 basis points, which brings the inversion between the two down to just about 35 basis points. This marks the closest the Micro 10-Yield has been to the 2-Year since last October, after inverting last June. This is illustrated in the top QuikStrike graph below. CVOL levels in CME’s Treasury options increased on the day as well.
Gold futures prices closed off the day’s high levels but were still up by about 1% and are trading back near all-time highs. CME’s Gold options markets reacted as well as CVOL and Skew both moved higher. The blue line in the CVOL graph below depicts the CVOL and the purple line shows the Skew level (indicating that Calls have been bid up relative to Puts). In fact, since Monday, CVOL in Gold options has increased from about 16 to 20, representing a relative move higher of about 25%.
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