Key Takeaways with Craig
US Equities saw muted price action for most of the trading day, ultimately ending little changed, while US Treasury Yields, at least at the short end of the curve, declined after the PPI release showed lower than expected producer inflation. As has been the case all week, Natural Gas futures prices remain active as they rallied by about 8% today. With all the activity over the first two weeks of the year, we’ve recapped both weeks below, rather than just this week. Below are the Year-to-date net price and volatility changes in some of CME’s major products, compiled using QuikStrike and CVOL data:
- After a price sell-off and increase in implied volatility in CME’s Equity Index futures and options last week, they reversed this week to both wind up nearly unchanged since the end of last year.
- WTI Crude Oil futures prices are up by just about 2% but CVOL is up by 10% after escalating tensions in the Middle East. The options, which were trading with a Put skew at the end of last year now have a Call skew.
- After a 1.5% price rally today, Gold futures are trading right around where they were at the end of the year. CVOL is down sharply.
- The Micro 10-Year Yield is up while the Micro 2-Year is down on the year. Consequently, the inversion between the 2 has narrowed to about 11 basis points. CVOL has declined in CME’s Treasury options.
- Natural Gas prices, which we’ve spent a lot of time on this week, are up 33% since the end of last year. CVOL is trading near one-year highs.
- Finally, Bitcoin futures prices, after trading over 49k yesterday, were trading under 44k in late afternoon action. Implied volatility in the options continued to fall today though the Put skew became more pronounced.
That’s where we stand after a busy first couple weeks to the year. We wish all of our In FOCUS readers a healthy and happy weekend and, for those in the path of the winter storms traversing the country, stay safe!
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