Key Takeaways with Craig

US Equity prices were mostly lower today, though the losses were muted after a late day rally, particularly in the Nasdaq, which came back to nearly unchanged on the day.  Implied volatility in CME’s E-mini S&P 500 and Nasdaq-100 options traded higher today but remains below the 3-month average. 

US Treasury yields rallied today in mostly a parallel move higher, with the Micro 2-Year Treasury Yield up by about 10 basis points, the Micro 10-Year up by about 11 bps and the 30-Year rising by about 9 bps.  Somewhat interestingly, CVOL in CME’s 2-Year Treasury options fell today while it rose from about 118 to 129 in the 10-Year options.  Fed Funds futures prices were lower today as well, a move that was reflected in CME’s FedWatch tool.  On Friday, that tool was showing a 77% chance for a 25 basis point cut to the Fed Funds target rate at the March FOMC meeting; today that had fallen to about 65%.  However, the FedWatch tool is still showing an 83% chance of at least 150 basis points in cuts by the end of the year. 

In other CME markets, perhaps related to the uptick in Yields, the US Dollar was stronger versus most major currencies in CME’s FX markets and Gold futures prices fell by about 1%. 

Finally, Natural Gas prices, about which we’ve written extensively as of late, were down by nearly 14% today while CVOL in the options fell by a relative 30%.  These moves are represented in the top CVOL graph below.  Additionally, the vol in the Calls fell by much more than the Puts, which is reflected in the CVOL skew and depicted in the lower graph below.  

Today's Future Price Action

Traders Resources

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