Key Takeaways with Craig

A bit more active day in CME Group’s financial markets as the major US Indexes diverged with the Nasdaq down by over 2.5% and the Dow Jones Industrials gaining about .5%.  US Treasury Yields rose with the Micro 2-Year Yield future up by about 8.5 basis points and the Micro 10-Year gaining almost 10.5 basis points.  Perhaps correlated with the rise in yields, the US Dollar was higher versus most major currencies in CME’s FX futures markets.

The price movement was reflected in CME’s options markets as well.  Implied volatility in the E-mini Nasdaq-100 options rose, but only to about the average closing level over the last 3 months, while the skew, as defined by the risk reversal moved toward the Puts. The implied volatility move was a bit more significant in CME’s FX options markets where the aggregate (incorporating the Euro FX, Japanese Yen, Pound, Aussie Dollar and CAD) CVOL level rose from 7.89 to about 8.25; a move of over 4%.  While the CVOL level is well below what it was trading at during the market volatility in March of this year, it is at the highest we’ve seen since the beginning of May, as you can see in the graph below. 

Finally, in CME commodity news, Natural Gas futures prices rose by over 5% and are up about 8% in the last few trading sessions.  However, despite the price rally, CVOL for Nat Gas options is at over one-year low levels.  

Today's Future Price Action

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