Key Takeaways with Craig

US Equity Index prices rallied in late afternoon action to close down just slightly while implied volatility in the CME’s Equity Index options continued to decline.  US Treasury yields rose and with today’s rally, the Micro 10-Year is up just a couple basis points on the week while the 2-Year is up by about 9 basis points.  Here’s the weekly price and volatility recap using QuikStrike and CVOL data:

  • Even with all the headlines regarding debt ceiling, recession potential, etc, implied volatility in almost all of the products we looked at declined on the week and were down a relative 10% and 11% in E-mini Nasdaq-100 and Gold options. 
  • With the late afternoon rally, E-mini Nasdaq-100 prices squeaked out a slight gain on the week.
  • Gold prices were also slightly higher and remain near all-time high levels.
  • The US Dollar gained versus the Euro FX in CME’s FX futures markets while volatility fell again.  The CVOL level in Euro FX options is near 14 month lows.
  • Even though the price of Bitcoin futures fell by over 11%, implied volatility in the at the money options fell by a relative 6%. 

So as we move into the third week of May, the market will, of course, be looking for progress in the debt ceiling negotiations and a couple of Federal Reserve speeches on Friday, among other things.  In the meantime, have a safe and happy Mother’s Day weekend and we’ll be back on Monday.  

Today's Future Price Action

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