Key Takeaways with Craig

US Equity Indexes spent most of the day in positive territory, sold off in mid-afternoon trading then ended near unchanged on the day.   Perhaps unsurprising, given the potentially market-moving events this week including an FOMC meeting and Friday’s Employment Situation, implied volatility rose today, particularly in options expiring later this week. 

US Treasury yields rose today, with the Micro 2-Year Yield up by about 10 basis points and the Micro 10-Year up by about 13.  Perhaps correlated to the higher yields, the US Dollar gained relative to most major currencies in CME’s FX futures markets.  CVOL levels in both the long-term interest rate and currency markets traded higher.  Also, CME Group’s FedWatch tool is now reflecting a 92% chance of a 25 basis point hike to the Fed Funds target rate at the end of Wednesday’s FOMC meeting. 

The QuikStrike graph of the volatility curve in E-mini Nasdaq-100 options below nicely illustrates the potential impact on the price of Nasdaq-100 futures that the options market is pricing from the FOMC and Employment report this week. As you can see, the options that expire on Wednesday (after the FOMC meeting) and Friday (after the Employment Situation report) are trading at elevated volatilities compared to the surrounding expirations.  The blue line in the graph represents the current level while the orange line represents the closing level from 4/28.  

Today's Future Price Action

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