Key Takeaways with Craig

US Equity Prices declined again on the second day of trading as we get into 2024.  E-mini Nasdaq-100 and Russell 2000 have led the losses as both are down by about 3% over the first couple of days.  Implied volatility (“vol”) has risen in CME’s Equity Index options but more in the Russell 2000 where 30-day ATM vol is trading above the 6-month one standard deviation move to the upside.  Vol remains below the 6-month average closing level in both E-mini S&P 500 and Nasdaq-100 options.  Friday morning brings us the first Department of Labor Employment Situation report of the new year.   The market moving potential of that report is reflected in CME’s Event Volatility Calculator suggests the options market is pricing in potential 90 point move in the price of E-mini Nasdaq-100 futures attributable to the release of that report.  The QuikStrike image below reflects the heightened vol in the E-mini Nasaq-100 options that expire Friday afternoon, after the report is released. 

US Treasury yields and CVOL in CME’s Treasury options were little changed today, while Gold fell by nearly 1.5% and most major currencies were higher relative to the US Dollar in CME’s FX futures markets.  CVOL in Gold options has fallen over the last several days while it has risen in the G5 FX options.

Today's Future Price Action

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