Key Takeaways with Craig

After several week of steady gains, US Equity Indexes sold off today, following a downgrade on the credit rating of US debt by the credit rating agency, Fitch.  The technology-heavy Nasdaq index led losses, down by over 2%, while the other major indexes lost between 1 and 1.5%.  Unsurprisingly, after falling to near 1-year lows last week, CME’s Equity Index options implied volatility traded higher today.  Additionally, Put volatility rose relative to the Calls in the E-mini S&P 500 and Nasdaq-100 options, as measured by the 25 Delta risk reversal. 

US Treasury yields were trading near steady at the end of the day but had traded in a wider range throughout the session.  The Micro 2-Year Treasury traded in a nearly 10 basis point range and the Micro 10-Year daily range was just above 10 basis points. 

In other CME markets, WTI Crude Oil futures fell by 2%, Natural Gas prices were down about 3%, Silver was down another 2% and the US Dollar was mostly higher versus most major currencies.  The aggregate CVOL levels in Interest Rates, Energies, Metals and FX markets all rose today, while the Ags CVOL fell slightly. 

Still to come this week are a some big earnings announcements scheduled for after tomorrow’s equity market close as well as the July Employment report set to be released on Friday morning.  The blue line in the QuikStrike graph below represents the current volatility curve in E-mini Nasdaq-100 options, while the orange line shows yesterday’s settlement levels.  As you can see, the market moving potential of the earnings and jobs report are reflected in the higher volatility in the options that expire Friday afternoon relative to the ones that expire tomorrow and next week.  

Today's Future Price Action

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