Key Takeaways with Craig

US Equity prices struggled to find a clear direction today but wound up just slightly higher on the day.  Implied volatility in CME’s Equity Index options ticked higher today and remains near 3-month highs.  US Treasury yields continued higher at the longer end of the yield curve with the Micro 10-Year Yield future up by over 10.5 basis points and the Micro 30-Year up by nearly 13.5 basis points.  With these moves, the Micro 10-Year is up by about 45 basis points in September and the Micro 30-Year is up by 48.  The Micro 2-Year Yield future was nearly unchanged on the day, which brings the inversion between the 2s and 10s down to about 52 basis points.  This is as narrow as this spread has been since the middle of May, as you can see in from the yellow line we drew on the graph below.  Remember, we’ve been discussing the options skew in the 2s, 10s and 30s lately which shows the option market has priced the 10s and 30s with a Call skew and the 2s with a Put skew in yield terms, over the last couple of months. 

It was an otherwise relatively quiet day in CME Group’s financial and commodity markets, though US Dollar did gain relative to most major currencies in the FX futures markets and silver and platinum prices were both down by about 2% in CME’s metals futures markets.  

Today's Future Price Action

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