Key Takeaways with Craig
US Equity prices traded lower today, led by the Nasdaq that was down by over 1%. Somewhat unsurprisingly, CME’s Equity Index options implied volatility traded higher and the Puts gained relative to the Calls according to the 25-Delta Risk Reversal. US Treasury yields rose slightly, particularly at the short end of the curve where the Micro 2-Year Treasury Yield future was up by nearly 5 basis points and over 4.95% again. CME’s FedWatch tool continues to suggest that the Fed Funds futures market is pricing in no further rate hikes through the rest of 2023.
In CME’s commodity markets, WTI Crude Oil futures prices continued to rise today while Gold futures fell by about .5%. CME’s metals options markets continue to trade at historically low CVOL levels and near the lowest levels we’ve seen since early 2020. It’s not just the Gold implied volatility that is trading at relatively low levels either. As you can see in the CVOL graph below, the aggregate Metals CVOL which takes into account Gold, Silver and Copper implied volatility, is also trading at levels last seen before the beginning of the COVID-19 pandemic.
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