Key Takeaways with Craig

US Equity prices struggled to find a clear direction today, but, after a late afternoon sell-off, closed broadly lower.  Equity Indexes seesawed after Federal Reserve Chairman Jerome Powell indicated in a speech that inflation was still “too high” and said the Fed remained committed to its goal of 2% inflation.  Meanwhile, US Treasury yields rose, particularly at the longer end where Micro 30-Year Yield futures were up by about 10.5 basis points (bps), Micro 10-Year was up by 7.5 bps and the Micro 2-Year was down 4 bps. This brings the inversion between the Micro 2s and 10s down to about 14.5 basis points; the closest the 10s have been to the 2s since the week the curve inverted in early July, 2022. 

In other CME Group markets, Gold futures prices were up by 1% and at the highest levels since mid-July, even in the face of recent highs in Treasury yields.  WTI Crude Oil futures prices were up another nearly 2.5%, with the November contract topping $90 per barrel. 

Perhaps unsurprisingly, the aggregate CVOL index in all five asset classes (Interest Rates, Metals, Energies, FX and Ags) rose today, as did the at-the-money (“atm”)implied volatility in CME’s Equity Index options markets.  To emphasize the current implied volatility levels, we graphed the last 3 months of the aggregate CVOL level in the graphs below (the last graph is that of the atm, 30-day implied volatility in E-mini S&P 500 options).  As you can see, only in the Ag options is implied volatility not trading at or near 3-month highs.  

Today's Future Price Action

Traders Resources

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