Key Takeaways with Craig

US Equity prices struggled to find a clear direction and we saw divergent performance in the major US indexes again today, but in mid-afternoon action, CME’s E-mini Nasdaq-100 was up by about .75% while the Dow and S&P 500 were little changed.  Implied volatility in the options markets was near steady from yesterday as well. 

US Treasury yields were higher as the Micro 2-Year Treasury future was up by about 8 basis points (bps) and the Micro 10-Year was up by about 6.5.  This brings the inversion between the two to nearly 95 basis points; nearing the deepest it’s been since the 2s began yielding more than the 10s.  CME’s FedWatch tool was little changed but the probability of a 25 basis point increase to the Fed Fund target rate increased to 77%; up from 74% yesterday and 33% a month ago. 

In other CME markets, the price of WTI Crude Oil was down by over 4% and trading below $70 per barrel, Gold prices were down by about 1% and the US Dollar was higher versus most major currencies. 

Yesterday, we mentioned that the price of Bitcoin (and Ether) futures had moved sharply higher.  In fact, in just the last week, Bitcoin futures prices have increased by nearly 20%.  We thought it was worth posting the QuikStrike graphs below that show price, volatility and skew in CME’s Bitcoin futures and options.  The top graph depicts the price (orange) and 30-day implied volatility (blue) while the bottom graph depicts the skew (using the 25 delta risk reversal (call vol minus put vol) as a proxy).  As you can see, not only has the price spiked higher, but the options volatility has moved higher as well while the Calls have been bid over the Puts.  




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