Key Takeaways with Craig

We have corrected today's InFocus and we are sending out the updated, correct version below. Thank you and we apologize for the confusion.  

US Equity indexes traded mixed for most of the day but after a late day rally, the Nasdaq was up by over 2.5% and the Dow Jones Industrials was nearly unchanged.  Interestingly, even after a rally in the E-mini S&P 500 futures today, implied volatility in the options increased over yesterday’s close. 

US Treasury yields also moved materially higher in late day trading with the Micro 2-Year yield increasing by 19 basis points and the Micro 10-Year up by about 10.  Coincidentally, the inversion between those two tenors has moved back up to 71 basis points.  With today’s move, the Micro 2-Year Treasury yield future has increased by 70 basis points just in the last two weeks.  CME Group Fed Funds futures prices have also been active, as reflected in the FedWatch tool which is estimating a nearly 50% probability of a 25 basis point rate hike at the June meeting; up from 36% yesterday.  CVOL levels in CME’s Treasury options market has increased with the increase in yields and the skew, in yield terms, is trading at 1-month highs.  The CVOL graph below depicts the skew in the 2 and 10-Year yield and, as you can see, the Calls are trading as high relative to Puts as they have in a month. 

Other active markets at CME Group included WTI Crude Oil futures, which were down by over 3% and Gold, which was down by about 1.25%.  

Today's Future Price Action

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