Key Takeaways with Craig

Due to the Memorial Day weekend here in the US, we are writing In FOCUS earlier today in an attempt to catch our readers before they take off for the week.  While conditions in the market could change over the last few hours of the trading day, especially with the ongoing debt ceiling negotiations, as of mid-day in Chicago, here is the recap of another active week in the markets using QuikStrike and CVOL data. 

  • Interest Rate activity stole the show this week as the Micro 10-Year yield was up by about 14 basis points and the Micro 2-Year yield was up by almost 40.  CVOL in the 10-Year options in terms of yield was up by about 16% and up by about 14% in the 2-Year. 
  • While not included in the chart below, it is worth noting that CME’s FedWatch tool is not suggesting a 64% probability of a 25 basis point increase to the Fed Funds target at the June meeting; up from just 17% a week ago.
  • E-mini Nasdaq-100 futures prices were up by over 4% after some positive tech company earnings this week while the S&P 500 was up slightly on the week after today’s rally.  Implied volatility in the E-mini S&P 500 options was up by a relative 25% even after a decline today while E-mini Nasdaq-100 options vol was lower on the week.
  • Natural Gas, somewhat under our radar this week with the goings-on in the financial markets, was down by over 11% and CVOL levels were up by about 5%.

That’s where we stand as we head into the unofficial beginning of summer here in the United States.  We wish all of our In FOCUS readers a safe and healthy Memorial Day weekend and we’ll see you all on Tuesday.  

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