Key Takeaways with Craig
US Equity Indexes were modestly lower today as the market looks toward several central bank meetings this week, including the conclusion of the US FOMC meeting tomorrow afternoon. In addition to that announcement, the Bank of England announcement is scheduled for 7:00 AM Eastern time on Thursday and the Bank of Japan for 10:30 PM Eastern time Thursday. Given these announcements, along with other global economic number releases, it is not surprising that CME’s Equity Index options that expire over the next few days are trading at significantly higher implied volatility levels than the more deferred expiries. The top QuikStrike graph below provides a nice illustration of this.
US Treasury yields were higher today with the Micro 2-Year Treasury yield future up by about 4 basis points and the Micro 10-Year yield up by nearly 5 bps. With this move, the Micro 2-Year is trading at 5.058% and the corresponding on-the-run cash 2-Year is nearing the highest yield since mid-2007 before the economic disruption called the “financial crisis” that was brought on by mortgage defaults. Interestingly, and as we’ve written about several times here in the Key Takeaways column, the 2-Year Treasury options, in yield terms, continue to trade with (an even more pronounced) Put skew while the 10 and 30-Year options are trading with a Call skew. We’ve illustrated this in the bottom CVOL graph below.
It was a relatively quiet day in CME’s commodity products as WTI Crude Oil, Gold, Corn and Soybean futures prices were little changed on the day.
Todays Featured Videos
Today's Future Price Action
The information in the market commentaries have been obtained from sources believed to be reliable, but we do not guarantee its accuracy and expressly disclaim all liability. Neither the information nor any opinions expressed therein constitutes a solicitation of the purchase or sale of any futures or options contracts. The information on this site compiled by CME Group is for general purposes only. All information and data herein is provided as-is. Additionally, all examples on this site are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or the results of actual market experience. CME Group assumes no responsibility for any errors or omissions. CME Group, its affiliates and any third party information and content providers expressly disclaim all liability with respect to the information and data contained herein including without limitation, any liability with respect to the accuracy or completeness of any data. You use the data herein solely at your own risk. All data and information provided herein is not intended for trading purposes or for trading advice. All matters pertaining to rules and specifications herein are made subject to and superseded by official CME, CBOT, NYMEX and COMEX rules. Current rules should be consulted in all cases concerning contract specifications.
Neither futures trading nor swaps trading are suitable for all investors, and each involves the risk of loss. Due to the leveraged nature of futures trading and swaps trading, it is possible to lose more than the amount deposited in a position. Therefore, traders should not deposit more funds than they can afford to lose without negatively affecting their lifestyles. A trader cannot expect to profit on each trade, and should only devote a small amount of their available funds to each trade. All references to options refer to options on futures.
Past performance is not necessarily indicative of future performance.
CME Group, the Globe Logo, Chicago Mercantile Exchange, Globex and CME are trademarks of Chicago Mercantile Exchange Inc. CBOT is the trademark of the Board of Trade of the City of Chicago, Inc. NYMEX is the trademark of the New York Mercantile Exchange, Inc. COMEX is a trademark of Commodity Exchange, Inc. All other marks are the property of their respective owners. Each of Chicago Mercantile Exchange Inc. (ARBN 103 432 391), The Board of Trade of the City of Chicago Inc (ARBN 110 594 459), the New York Mercantile Exchange Inc (ARBN 113 929 436) and Commodity Exchange, Inc. (ARBN 622 016 193) is a registered foreign company in Australia and holds an Australian market licence.
This site does not constitute a prospectus, product disclosure statement or legal advice, nor is it a recommendation to buy, sell or retain any specific investment or to utilise or refrain from utilising any particular service. Readers should consult their legal advisors for legal advice in connection with the matters covered on this site.