Key Takeaways with Craig
US Equity prices fell, US Treasury Yields rose (more at the longer end of the curve) and volatility in the options markets of both increased this week. Commodity prices such as WTI Crude Oil and Gold both were higher on the week and Bitcoin prices increased. Below is a recap of net price and volatility changes in a format that should be familiar to regular In FOCUS readers, compiled using QuikStrike and CVOL data.
- E-mini S&P 500 futures price was down by over 2.5% and Nasdaq-100 was down by about 3%. Implied volatility in the options rose by a relative 16% and 13%, respectively. The Risk Reversal, using the 25 delta strikes, suggests Puts are trading as high relative to Calls, as they have since May.
- WTI Crude Oil and Gold futures prices were higher by 2% and 3%, respectively. Even though CVOL in WTI Crude Oil options fell, it remains elevated compared to the levels at which it was trading for much of the Summer.
- US Treasury Yields shot higher, with the Micro 10-Year Yield Futures rising by almost 30 basis points. CVOL traded higher as well and is near multi-month highs. The Micro 2-Year Yield was only up by about 4.5 basis points on the week so the difference between the 2s and 10s narrowed to about 13 basis points.
- Finally, after a volatile week, Bitcoin Futures prices wound up higher by about 10%, implied volatility in the options increased and the skew, using the 25 delta risk reversal as a proxy, shifted toward the Calls.
We hope all of our In FOCUS readers have a happy and safe weekend and we’ll see you on Monday.
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