Key Takeaways with Craig

US Equity Indexes struggled to find a clear direction today and wound up near the unchanged mark, as the market looks ahead to earnings announcements after the cash equity market closes and tomorrow morning’s July Employment Situation report.  Implied volatility in CME’s Equity Index options ticked higher again today.

US Treasury yields were active again today, particularly at the longer end of the curve.  The 30-Year Micro Treasury Yield future was higher by 13 basis points (“bps”) and the Micro 10-Year Yield rose by over 10 bps.  Both of these are trading at 6-month highs, as you can see by the green and orange lines in the top graph below.  Meanwhile, the Micro 2-Year Treasury Yield future declined by about 2 bps, reducing the inversion between the 2s and 10s to about 63 bps.  This is down from nearly 100 bps just over a week ago, as shown in the bottom graph below. 

Finally, this movement in the yield curve has not been lost on the Treasury options markets at CME.  While CVOL levels increased in the Treasury options throughout the yield curve, it has been most pronounced in the 30-Year options.  The Treasury options skew is also interesting.  As you can see in the CVOL graph on the right, as the 10 and 30-Year Yields have increased relative to the 2-Year, so to has the skew in terms of yield in the 10 and 30-Year options.  The blue and orange lines represent the 30 and 10-Year skew (respectively) in terms of yield and, as you can see, the Calls increased relative to the Puts, while the green line represents the 2-Year skew where the Puts have been bid over the Calls. 

We’ll be back tomorrow to wrap up the first week of August trading!

Today's Future Price Action

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