Key Takeaways with Craig

US Equity Indexes were mixed for much of the day with the Dow Jones Industrials trading lower and the Nasdaq higher after a lower than expected CPI number was released this morning.  Ultimately, the price of E-mini Nasdaq-100 futures was up by over 1% while the E-mini Dow was little changed and E-mini S&P 500 was up by about .5%.  Implied volatility, particularly in CME Group’s nearby Equity Index option expirations, traded lower today after the release of the CPI data. 

Once again, the short end of the US Treasury curve was particularly active, as the Micro 2-Year Yield future fell by about 12 basis points (“bps”) while the Micro 10-Year Yield was down by just over 7 bps.  In the top image below we graphed the CVOL levels for the 2-Year (orange) and 10-Year (blue) yields over the last year.  As you can see, with only a couple of short exceptions, the 2-Year options have traded at a higher implied volatility than the 10-Years.  In the lower image, we graph the same CVOL levels, but for the time period between 2013 and the beginning of 2020.  As you can see, for almost the entire time, the 10-Year options traded at a higher vol level, underscoring the heightened volatility in the options at the shorter end of the curve right now.  

Today's Future Price Action

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