Key Takeaways with Craig
Despite an agreement over the weekend that averted a US Government shutdown, US Equity prices were mostly lower throughout much of the day, though a late afternoon rally brought the S&P 500 back to nearly unchanged and the Nasdaq managed modest gains. Implied volatility in CME’s E-mini S&P 500 options increased a bit today but that in the Nasdaq-100 options fell again.
Once again, US Treasury yields grabbed the headlines as CME’s Micro Treasury Yield futures rose throughout the curve. The Micro 2-Year was up by about 5.5 basis points (“bps”) while the Micro 10 and 30-Year futures were up by about 11.5 and 10 bps, respectively. This brings the inversion between the 2s and 10s down to about 36 bps. While CVOL levels increased in all Treasury tenors, it is the 30-Year that has seen the most significant move. As you can see in the CVOL graph below, CVOL in the 30-Year is now trading at levels last seen in March (in the aftermath of the SVB failure).
Perhaps correlated with the higher Treasury yields, Gold futures prices fell by another 1% and the US Dollar was higher relative to most major currencies in CME’s FX futures markets. The G5 FX CVOL index was up by about 6.6% and the Metals aggregate CVOL index was up by about 7.3% today. In other markets, WTI Crude Oil futures were down by about 2.5% and trading back below the $90 per barrel mark.
Looking ahead at the remainder of the first week of October, the calendar presents a series of employment reports, culminating with the Department of Labor’s Employment Situation report on Friday as well as speeches from several Federal Reserve officials.
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