Key Takeaways with Craig

US Equity Index prices moved higher today, with the Nasdaq leading the way, as CME’s E-mini Nasdaq-100 futures price up by over 1.5%.  Implied volatility in the E-mini S&P 500 and Nasdaq-100 options declined, although both are trading near the 1-standard deviation move over the last 3 months.  Additionally, implied volatility in CME’s Equity Index options that expire tomorrow and Friday is trading at elevated levels relative to the more deferred expiries; perhaps a reflection of the market moving potential of technology company earnings scheduled for Wednesday afternoon and Fed Chairman Jerome Powell’s speech scheduled for Friday morning at the Jackson Hole Economic Summit. 

US Treasury yields were active again today with the Micro 10 and 30-Year Treasury Yield futures down by over 13 basis points and the Micro 2-Year falling by about 7 basis points.  CVOL in CME’s Treasury options markets fell again, though the action in the skew was interesting.  The CVOL graph below depicts the skew, in yield terms, in the 2 (purple), 10 (green) and 30-Year (orange) Treasury options over the last month.  As you can see, both the 10 and 30-Year Treasuries continue to trade with a Call skew, while the 2-Year has continued to move toward a larger Put skew. 

In other CME Group markets, WTI Crude Oil prices were down by over 1% to under $79 per barrel, Natural Gas continued lower, down over 3% and CME metals futures prices were broadly higher.  Gold prices were up by over 1% and Silver was up by nearly 4%, though CVOL levels were little changed.

Have a great night and we’ll be back reporting on CME markets tomorrow. 

Today's Future Price Action

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