Key Takeaways with Craig

US Equity Indexes sold off again today and, once again, the Nasdaq led losses, down by over 1.5% today. Unsurprisingly, implied volatility in CME’s Equity Index options rose today and is now trading above the 6-month average closing level in the E-mini S&P 500 and Nasdaq-100 options. 

CME Interest Rate markets stole the show though as the Micro 5, 10 and 30-Year Treasury Yield futures were all up by 14-15 basis points.  The on-the-run US 10-Year Treasury yield is now trading at the highest level since 2007.  The Micro 2-Year Treasury Yield future, however, was near steady on the day, arrowing the inversion between the 2s and 10s to about 60 basis points.  Even though we’ve written about it several times, we thought the further diversion in skew between the 10 and 30-Year options and the 2-Year options was worth illustrating again.  As you can see in the CVOL graph below, the 2-Year options are trading with a clear Put skew while the 10 and 30-Year are trading with a Call skew.  Remember, these are in yield, not price terms. 

Perhaps correlated with the higher Treasury yields, most major currencies were lower against the US Dollar in CME’s FX futures markets and Gold futures prices were down by almost 5%.  CVOL in CME’s FX options markets rose with with the price moves, while that in the Gold options fell.   

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