Key Takeaways with Craig

Well that was quite a start to October!  Strong jobs reports, higher interest rates and volatile equity prices characterized the market action this week.  Stocks initially sold off after this morning’s release of the September Employment situation report but had largely recovered by mid-morning and wound up higher on the day. Below is our recap of weekly net price and volatility changes generated using QuikStrike and CVOL data and shows higher implied volatility almost across the board. 

  • After some “down and up” action, E-mini S&P 500 prices wound up slightly higher and the Nasdaq-100 was up by about 2%.  Implied volatility came back to near steady on the week. 
  • WTI Crude Oil futures prices sold off sharply and, even with an uptick today, were down by about 12% on the week.  CVOL levels increased.  
  • Gold prices were little changed but CVOL levels rose from multi-year lows.
  • US Treasury yields continued to rise, particularly on the longer end of the curve, bringing the magnitude of the 2s vs 10s inversion down to just over 20 basis points.  CVOL in the Treasury options rose sharply.  CME’s FedWatch tool is still pricing in no change to the Fed Funds target rate in 2023, but the probability for a 25 basis point hike increased slightly today. 
  • Natural Gas futures prices and options volatility both increased substantially. 

So we head into the second week of October in a high volatility interest rate environment but with a week-end rally in stocks.  Have a safe and happy weekend and we’ll see you on Monday!

Today's Future Price Action

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