Key Takeaways with Craig

Both US Treasury yields and Equity prices rose today after data on producer price inflation and retail sales was released.  All four major US stock indexes logged strong gains with the small cap Russell 2000 leading the way, up by over 1.25% on the day.  Implied volatility fell and the E-mini Nasdaq-100 30-day at the money vol is back trading at multi-month low levels. 

The Treasury curve moved higher in a mostly parallel shift as the Micro 2-Year Treasury Yield future was up by about 4 basis points (bps) and the Micro 10 and 30-Year Yields were up by just under 4 bps.  Treasury CVOL declined in today’s session, though the divergence in skew between the 2 and the 10 and 30-Year Treasury options continued; the 2-Year options, in yield terms, continues to trade with a Put skew while the longer dated maturities are trading with a neutral or Call skew. 

The price of WTI Crude Oil futures rose again with the October delivery month now trading at over $90 per barrel.  Despite the price action, CVOL in WTI Crude Oil options is trading at 3+ year low levels as you can see in the graph below. 

So that’s where we stand as we approach the halfway mark of September; historically, a relatively poor performing month in the US stock market but not so far… Have a great evening and we’ll be back tomorrow.    

Today's Future Price Action

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