Key Takeaways with Craig

US Equity Index prices traded lower today while Treasury Yields rose ahead of Fed Chair Jerome Powell’s speech at the Jackson Hole summit tomorrow.  Even though the Nasdaq was buoyed earlier in the day by positive technology company earning reports, it led index losses, down by about 2% in late afternoon trading. 

CME’s Micro 2-Year Yield Treasury future was up by about 7 basis points (bps) and trading near the 5% mark, while the Micro 10-Year Yield was up by about 3 bps.  The magnitude of the inversion between the two has widened back to nearly 75 bps. CVOL levels in the 2-Year Treasury options declined slightly while that in the longer tenors was up by just a bit. 

Implied volatility in the E-mini Nasdaq-100 options increased today and, is trading well above the average level over the last month as you can see in the top graph below that was generated using QuikStrike data.  However, if we put it in a longer, historical perspective, implied volatility remains below average relative to the last 5 years, as we show in the lower graph.  In fact, even if one removes the data from the spike in volatility during March and April, 2020 that was induced by the initial COVID-19 lockdowns, the current 30-Day, ATM implied level is below the 5-year average.  

Today's Future Price Action

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