Key Takeaways with Craig
US Equities were mixed once again today, though this time, the Nasdaq managed slight gains while the small-cap Russell 2000 was lower by almost 1.5%. Implied volatility in CME’s Equity Index options was little changed and remains near 3-mnoth lows, with the exception of the Russell 2000 in which vol is trading near the 3-month average closing level.
Treasury markets remain more active with the Micro 10 and 30-Year Treasury Yield futures down by 11 and 8.5 basis points, respectively, and the 2-Year down by about 6. CME’s options markets have been particularly active as CVOL levels have continued to climb. As you can see in the top CVOL graph below, both 2 and 10-Year CVOL levels (green and orange lines) are trading at 3-month highs, while the 30-Year (blue line) has also rallied off of recent lows. CVOL in 2-Year Treasury options is up by a relative 37% since the Friday following Thanksgiving. The lower CVOL graph depicts the skew in 2, 10 and 30-Year Treasury options. Interestingly, after the divergence among the 2-Year vs the 10 and 30-Years, skew in the 10s and 30s has shifted toward the Puts and begun to converge with the 2-Year skew.
Finally, Bitcoin futures prices continued to rally and were trading at over 44,000 in late afternoon action. Implied volatility remains high relative to the last 6 months in CME’s Bitcoin options while the Puts gained relative to the Calls according to the 25 Delta Risk Reversal.
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