Key Takeaways with Craig

US Equity prices were just modestly lower and Treasury yields were nearly unchanged on the day as the market looks toward tomorrow’s release of the CPI numbers.  Implied volatility in CME Group’s equity options was near steady in options with greater than 2 weeks until expiration but continued to rise in the options that expire tomorrow after the release of the inflation number.   CVOL in Treasury options was also little changed on the day. 

It was a relatively quiet day in many of CME’s major products ahead of the inflation report, although CME grains futures prices were generally lower with Corn down 1.8% and Wheat and Soybeans down by 1.5%.  Friday marks the May WASDE report which will provide the first look at new crop demand and yield potential.  Remember, in addition to monthly expirations in grains options, CME also lists weekly options as well as short-dated options on “New Crop” months that allow users to take a position on deferred futures months but without the time value inherent in an option with months until expiration.  The top CVOL graph below shows that the implied volatility level in Corn options is approaching 6-month highs.  The lower CVOL graph depicts the Corn options skew and the red line indicates the Skew level at the beginning of May in both 2021 and 2022.  As you can see, the current Call Skew is lower than where we’ve seen it at this time of year in the last two years.  

Today's Future Price Action

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