Key Takeaways with Craig

US Equity Index prices came out of the gate strong, but by late afternoon trading were mostly lower, led by the Nasdaq, which was down by about .6%.  Implied volatility was little changed in CME’s Equity Index options that expire in 30 days, but is higher in the options that expire on Friday, after the release of the Department of Labor November Employment Situation (“Jobs”) report. 

US Treasury Yields were near steady at 2-Years out but the Micro 10-Year Treasury future was down by about 4.4 basis points and the Micro 30-Year was down by about 11 bps.  As we’ve written about all week, CVOL in all Treasury tenors continued to rally, with the aggregate Treasury CVOL up by about 30% just since Thanksgiving. 

WTI Crude Oil futures prices declined by over 4% today, with the January expiration trading below $70 per barrel.  As you can see in the top graph below, this is the lowest price we’ve seen since around the 4th of July holiday.  As you can see in the lower CVOL graph, the blue line suggests that CVOL was up today, but remains well below the high levels we saw in October (but well above what we saw for most of the summer).  Additionally, even with the downward pressure on price, the skew, as indicated by the purple line, has come back to about neutral.  

Today's Future Price Action

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