Key Takeaways with Craig
US Equity Index prices sold off and Treasury Yields declined amidst continuing uncertainty over about the banking system and ahead of tomorrow’s FOMC decision and Friday’s Employment Situation report. Specifically, the S&P 500 was down by just over 1% and the Nasdaq was down by just under 1% while the Micro 2-Year Yield was down by 13 basis points and the 10-Year was down by 15. Perhaps unsurprisingly, given today’s price moves and the market-moving potential of this weeks economic announcements, implied volatility in CME’s Equity and Interest Rates options markets traded higher today. Specifically, the CVOL level in the 10-Yr Yield rose by nearly 9% over yesterday’s close.
In other markets, WTI Crude Oil futures prices continued to decline, down by over 5% on the day and are trading near 6 month lows. CVOL levels rose in CME’s WTI Crude Oil options markets and, despite the decline in prices, skew shifted toward the Calls today.
Gold futures prices rallied today and, after coming off of near all-time highs in the middle of April, the June expiry is trading back near 2,030 per ounce. Gold CVOL spiked from about 16 yesterday to about 18 today, a relative increase of over 10%.
We’ll leave our readers with an updated picture of the E-mini Nasdaq-100 volatility curve as it shows the elevated vol levels at which tomorrow and Friday’s expirations are trading as well as the increase in vol over yesterday (blue line over orange line).
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