At-a-Glance
Key Takeaways with Craig
US Equity prices were mixed at the beginning of the trading session, but by the end, all four major US Indexes were trading higher by between about .9% and 1.25%. The Dow Jones Industrials, S&P 500 and Nasdaq-100 are all trading at 2023 highs while the Russell 2000 is nearing the high level for the year. In fact, CME’s E-mini Nasdaq-100 hasn’t traded this high since January, 2022 and the current at-the-money, 30-day implied volatility level, at 17.7% is lower than it was then.
For the second day in a row, US Treasury yields were nearly unchanged on the day, though CME’s Micro 2-Year Treasury yield was up by about 2 basis points, while the Micro 10-Year was down by about 4. This leaves the inversion between the two at just under 80 basis points.
CME commodity markets were active again today, with price action as follows:
Gold Futures: +1.26%
WTI Crude Oil Futures: +2.1%
Natural Gas Futures: +4.2%
Corn Futures: +5.24%
Soybean Futures: +1.2%
Wheat Futures: +2.4%
After relatively muted price action yesterday, as you can see above, CME grains prices moved higher today. Revisiting the Wheat options that we looked at yesterday, you can see in the two CVOL graphs below that the options market had a more significant reaction today. The top graph depicts the CVOL level in Wheat options and the lower graph depicts the skew over the last 3 months. As you can see, while volatility has risen generally in the Wheat options market, the Calls were bid over the Puts over the last couple of days as well (skew).
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