Key Takeaways with Craig

And just like that, the week, September and the third quarter are in the rearview mirror.  US Equity indexes were mixed, Treasury yields were near steady and Gold and WTI Crude prices declined today, as we head into the 4th quarter of 2023. As today does mark the end of all three time periods, we’ve included a “3 for 1” recap below.  The charts below reflect net price and implied volatility changes for the week, month and quarter and were generated using QuikStrike and CVOL data. 

  • E-mini S&P 500 futures prices were down 3.5% this quarter, but, as you can see, most of that came during the month of September when prices declined by over 5%.  After falling to low levels in June, implied volatility rose by a relative 46% on the quarter. 
  • Similar to E-mini S&P 500 futures, Nasdaq-100 futures were down 3% on the quarter, but down 5% in September.  Implied volatility in those options increased during the quarter as well, though not by as much, on a relative basis, as the S&P 500. 
  • Despite muted price gains this week, WTI Crude Oil prices are up 9% in September and 29% this quarter.  Also, after trading down to multi-year lows earlier in September, CVOL in WTI Crude Oil options was up 9% this week nearly 20% in September. 
  • Gold was down 3% on the quarter, but, as you can see, much of that movement happened recently, with the weekly and monthly price decline of 4%.  Similarly, CVOL in Gold options rose this quarter, but only after an increase of 15% this week.  Like WTI Crude Oil options, CVOL was at multi-year lows a few weeks ago. 
  • Micro 10-Year yield has risen steadily; up about 20% on the quarter, 11.5% on the month and 3% this week.  Also, the magnitude of the inversion between the Micro 2s and 10s has declined by 53 basis points this quarter and by over 20 basis points this week.  CVOL increased during all three time frames we looked at. 
  • As more information about the planting season emerged during the quarter, CVOL in Corn and Soybeans declined by 52% and 43% respectively.

As always, we hope all of our In FOCUS readers have a happy and safe weekend and we’ll be back on Monday to begin reporting on the 4th Quarter!

Today's Future Price Action

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