Key Takeaways with Craig
US Equity Indexes rallied today after the Senate passed the debt ceiling bill yesterday and after the Department of Labor released a stronger than expected May Employment report this morning. The rally comes despite an increase in US Treasury yields and a slight increase in the probability of a Fed Funds target rate hike at the June FOMC meeting according to CME’s FedWatch tool.
After another volatile month, somewhat driven by uncertainty around the debt ceiling negotiations, we’ve recapped the net price and volatility changes in some of CME’s major products since the last trading day in April (4/28). The chart below was compiled using QuikStrike and CVOL data and includes the month of May and first two trading days in June.
- US Equity Index performance was interesting as we saw a divergence among major indexes. E-mini Nasdaq-100 futures outperformed the E-mini S&P 500 significantly with respect to price level, but implied volatility fell in the S&P 500 options and remained steady in the Nasdaq-100 options.
- WTI Crude Oil CVOL rose by over 20% ahead of this weekends OPEC+ meeting.
- The Micro 10-Year Treasury future yield rose by almost 8% as did the CVOL level in the options market, though vol is off of recent highs.
- The inversion between the Micro 10-Year and 2-Year yield widened by almost 20 basis points this month.
- CME Grains markets CVOL is increasing as we enter the crucial summer months.
- Implied volatility in Bitcoin options is near the lowest it’s been since CME began offering the product in the beginning of 2020.
We hope all of our readers have a happy and safe almost-summer weekend and for those here in Chicago, enjoy the beautiful forecast!
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