Key Takeaways with Craig
US Equity Index futures prices were mixed, but little changed today, while implied volatility in CME’s Equity Index options was also little changed. Once again, the longer end of the US Yield curve was lower as the Micro 10-Year Treasury Yield future was down by about 6 basis points and the Micro 30-Year was down by over 8 basis points. The Micro 2-Year Treasury Yield future, on the other hand, was up by a couple basis points, further widening the inversion between the Micro 2s and 10s, which currently is trading at about 37 basis points. Somewhat interestingly, the 2-Year options continue to trade with a more pronounced Put skew (in YIELD terms) relative to the 10s and 30s. You can see this graphically in the green line in the top image below.
Energy markets at CME Group were active again today as WTI Crude Oil futures prices were down another 2.25%. With today’s move, the price of WTI Crude Oil futures is down by almost 20% since recent highs on September 27th. CVOL in WTI Crude options is off of recent highs but remains elevated versus the average level over the last 12 months. There has been more of a reaction in the options skew over the last couple of weeks. As you can see in the lower CVOL image below, the skew has come almost down to neutral since it traded with a pronounced Call skew at the end of October.
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