Key Takeaways with Craig

US Equity prices were mixed today as the Dow and the S&P 500 wound up nearly unchanged on the day while the Russell 2000 was higher and the Nasdaq was lower.  Implied volatility in CME Group’s Equity Index options was near steady from yesterday’s close. 

Once again, US Treasury yields stole the financial headlines as the Micro 2-Year Yield future was up by over 12 basis points and the Micro 10-Year Yield future was up by 13 basis points, after a better-than-expected retail sales report was released.  With that move, the Micro 2-Year is up 27 basis points and the Micro 10-year is up 20 basis points since the close last Monday, October 9th.  This price action hasn’t been lost on the options market, as the CVOL graphs below show.  The green line in both graphs show the convexity over the last six months in the 10-Year (top) and 2-Year (bottom) options.  Remember, as we discussed yesterday when looking at the WTI Crude Oil options, convexity refers to the volatility in the out of the money options relative to that of the at the money.  So, just like we saw yesterday in crude oil options, the market is pricing higher volatility in the out of the money options than it was for most of the summer, again, relative to the ATM.  The purple line in each graph depicts the skew which is the volatility of the Calls relative to the Puts and, in these graphs, is shown in yield terms.  So, even as Treasury Yields have risen, the skew has shifted toward the Puts in the last several trading days.  

Today's Future Price Action

Traders Resources

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.

CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). 
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

© 2024 CME Group Inc. All rights reserved.