Key Takeaways with Craig

US Treasury Yields and Equity prices were little changed earlier in the trading day, but after a 30-Year Treasury auction was met with light demand, yields traded higher and stocks traded lower.  Specifically, CME’s Micro Treasury Yield futures rose as follows:

  • Micro 2-Year:  +8.9 basis points
  • Micro 10-Year:  +12.8 basis points
  • Micro 30-Year:  +11.3 basis points

All four major US Equity Indexes were lower, with the Russell 2000 leading losses, down by over 1.5%.  CVOL rose in CME’s Treasury options markets and implied volatility rose in the E-mini S&P 500 and Nasdaq-100 options. 

CME Group Cryptocurrency futures were active again today.  After spiking to over 38,000, November Bitcoin futures retreated and were trading about 560 points higher than yesterday at about 36,450.  Ether futures prices were about 6% higher than yesterday, with the November expiration trading over at a price of over 2,000.  The top graph below, generated using CME data, depicts the price of Ether futures divided by Bitcoin futures since the beginning of October.  As you can see, as Bitcoin futures rallied during October, it outperformed Ether (as shown by the downward sloping line), but more recently, and including today, Ether prices have outperformed Bitcoin. 

Implied volatility in Bitcoin futures has also risen and is trading at near 6-month highs.  The lower QuikStrike graph, depicts the skew in Bitcoin options using the 25 Delta Risk Reversal as a proxy.  As you can see, the Calls are trading almost as high relative to the Puts as they have in six months.  

Today's Future Price Action

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