Key Takeaways with Craig

Equity Index prices sold-off and the Micro 10-Year Treasury Yield future rose by another 5.5 basis points as volatility continues to persist in most of CME’s Financial and Commodity markets.   The Nasdaq, S&P 500 and Russell 2000 were all down by over 1% today and the Dow was down nearly 1%.  The Micro 2-Year Treasury was near steady on the day which brings the inversion between the 2s and 10s down to about 25 basis points.  Implied volatility in both CME’s Equity Index and Treasury options markets traded higher again today. 

WTI Crude Oil futures prices were up by about 2% today and the November expiry was trading near $89 per barrel.  As we wrote about yesterday, CVOL and convexity (remember, convexity is the measure of out of the money options relative to at the money options) remain high and the skew remains decidedly toward the Calls. 

Despite the rising interest rates, Gold futures prices have been climbing steadily; up by about 7% since recent lows on October 12th.  The options markets have been active as well as CVOL in Gold options has risen by a relative 38% in October (as pictured in the top CVOL graph below) and the Calls are trading as high relative to the Puts as they have since the market volatility caused by the Silicon Valley Bank failure in March of this year (as you can see in the bottom graph below). 

Today's Future Price Action

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