Key Takeaways with Craig

US Equity Index prices closed mixed again today with the Nasdaq declining by about 1.75% and the small-cap Russell 2000 outperforming again, up by about the same 1.75%.  Over the last two weeks, we’ve seen some divergence in the performance of the 4 major US Equity indexes:

E-mini Nasdaq-100:  +4.9%

E-mini S&P 500:  +3.5%

E-mini Dow:  +2.5%

E-mini Russell 2000 (outperforming):  +7.2%

Somewhat interestingly, even though the Dow underperformed in price appreciation, implied volatility in the options market declined to the lowest level it’s been since January 2020, prior to the COVID 19 pandemic, while the implied volatility in the Russell 2000 options is about steady over the last two weeks. 

In the US Treasury markets, CME’s Micro 2-Year Yield rose by about 4.5 basis points while the Micro 10-year was up by about 9 bps.  CME’s FedWatch tool shows a slightly higher probability for a rate hike at the June FOMC meeting than yesterday, but is still indicating a “pause” in June and rate hike at the July meeting.  After declining steadily since the debt ceiling agreement was reached, CVOL in CME’s treasury options markets ticked slightly higher today. 

Finally, the price of WTI Crude Oil futures increased again today, but the CVOL level in the options markets traded down to nearly the lowest level we’ve seen in a year, as you can see in the CVOL graph below.  

Today's Future Price Action

Traders Resources

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