Key Takeaways with Craig

US Equity prices soared, and Treasury yields dropped sharply after a lower-than-expected CPI reading was released this morning.  E-mini S&P 500 and Nasdaq-100 futures prices were up by over 2% while the Russell 2000 was up almost 5.5%!  Somewhat unsurprisingly, implied volatility in CME’s Equity Index options declined, which you can see in the top QuikStrike image below.  In a reversal from yesterday, the blue line, which represents the current implied volatility value in E-mini Nasdaq-100 options is below yesterday’s, represented by the orange line. 

US Treasury prices also rallied, which means yields fell, with the Micro 2-Year Yield Treasury future down by over 21 basis points and the Micro 10-Year lower by nearly 20.  The options action was interesting as CVOL in the 2-Year, which is potentially more impacted by Federal Reserve decisions, climbed to 1-month highs while the 10-Year CVOL was little changed and 30-Year CVOL fell slightly.  This is represented, respectively, by the green, orange and blue lines in the bottom CVOL graph below. 

CME Group’s Fed Funds futures also reacted to the CPI report, which was reflected in its FedWatch tool which now reflects nearly no chance of a Fed Funds target rate increase at the December meeting; down from about 14.5% yesterday.  Further, the tool is suggesting a 33% chance of a target rate cut at the March, 2024 meeting; up from about 10.5% yesterday. 

In other CME Group markets, perhaps related to the decline in interest rates, Gold and Silver futures prices traded higher while most major currencies were higher versus the US Dollar in the FX futures markets.  The G5 FX CVOL index declined slightly today, but it is trading with a call (as opposed to put) skew for the first time since the end of July.  

Today's Future Price Action

Traders Resources

The information in the market commentaries have been obtained from sources believed to be reliable, but we do not guarantee its accuracy and expressly disclaim all liability. Neither the information nor any opinions expressed therein constitutes a solicitation of the purchase or sale of any futures or options contracts. The information on this site compiled by CME Group is for general purposes only. All information and data herein is provided as-is. Additionally, all examples on this site are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or the results of actual market experience. CME Group assumes no responsibility for any errors or omissions. CME Group, its affiliates and any third party information and content providers expressly disclaim all liability with respect to the information and data contained herein including without limitation, any liability with respect to the accuracy or completeness of any data. You use the data herein solely at your own risk. All data and information provided herein is not intended for trading purposes or for trading advice. All matters pertaining to rules and specifications herein are made subject to and superseded by official CME, CBOT, NYMEX and COMEX rules. Current rules should be consulted in all cases concerning contract specifications.

Neither futures trading nor swaps trading are suitable for all investors, and each involves the risk of loss. Due to the leveraged nature of futures trading and swaps trading, it is possible to lose more than the amount deposited in a position. Therefore, traders should not deposit more funds than they can afford to lose without negatively affecting their lifestyles. A trader cannot expect to profit on each trade, and should only devote a small amount of their available funds to each trade. All references to options refer to options on futures.

Past performance is not necessarily indicative of future performance.

CME Group, the Globe Logo, Chicago Mercantile Exchange, Globex and CME are trademarks of Chicago Mercantile Exchange Inc. CBOT is the trademark of the Board of Trade of the City of Chicago, Inc. NYMEX is the trademark of the New York Mercantile Exchange, Inc. COMEX is a trademark of Commodity Exchange, Inc. All other marks are the property of their respective owners. Each of Chicago Mercantile Exchange Inc. (ARBN 103 432 391), The Board of Trade of the City of Chicago Inc (ARBN 110 594 459), the New York Mercantile Exchange Inc (ARBN 113 929 436) and Commodity Exchange, Inc. (ARBN 622 016 193) is a registered foreign company in Australia and holds an Australian market licence.

This site does not constitute a prospectus, product disclosure statement or legal advice, nor is it a recommendation to buy, sell or retain any specific investment or to utilise or refrain from utilising any particular service. Readers should consult their legal advisors for legal advice in connection with the matters covered on this site.

CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). 
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

© 2024 CME Group Inc. All rights reserved.