Key Takeaways with Craig
US Equity prices rose today while US Treasury yields were higher at the short end of the curve, but fell at the longer end. Implied volatility in both traded lower, but remains elevated compared to the levels at which it traded a few weeks ago. We continue to see that divergence in Treasury options skew that we’ve discussed in this column, wherein the 30-Year is trading with a Call skew, the 10-Year with a slight Put skew and the 2-Year with a pronounced Put skew, all in terms of Yield. This is graphically illustrated in the top CVOL graph below.
In other CME Group markets, Gold futures prices were little changed, the US Dollar gained versus most major currencies and WTI Crude Oil prices fell by another 2.25%. CVOL levels in the WTI Crude Oil options came down again, but remain elevated and, according to CVOL skew, the Puts gained versus the Calls, but they continue to trade with a Call skew.
As we talked about yesterday, CME Group cryptocurrency markets remain active as Bitcoin futures prices were up another ~7.75% from yesterday and Ether prices were higher by about 4.25%. In CME’s Bitcoin options market, implied volatility rose again today though, as opposed to yesterday, the Puts were bid versus Calls, as you can see in the QuikStrike graph of the 25 delta risk reversal below.
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