Key Takeaways with Craig

US Equity Index prices were mostly higher today as the market waits for the CPI release scheduled for 7:30 AM Central Time which will provide the latest read on inflation in the US.  As we’ve written about this week, CME’s E-mini S&P 500 and Nasdaq-100 options that expire tomorrow continue to trade at heightened volatilities relative to the options that expire next week. 

Price movement in CME’s US Treasury futures has been fairly muted this week and today was not an exception.  The Micro 2-Year Yield Treasury was down by about 1.5 basis points and the Micro 10-Year was up by about 1.5.  CVOL was also little changed from yesterday’s closing levels.  CME’s FedWatch tool is little changed from a week ago and currently reflects about a 65% probability of a 25 basis point cut to its Fed Funds target at the March 20th meeting.  One of the features of CME’s FedWatch tool is the ability to view the historical probabilities of different Fed moves.  The top graph below shows the probability that the target range after the March meeting will be between 500-525 basis points, or 25 basis points lower than the current range.  The graph below it depicts the probability that the range is between 525 and 550, or, no change from the current target.  For simplicity, we’ve omitted the probability of any other range values, but users have access to the full range of probabilities in the tool. 

CME Energy markets remained active today with WTI Crude Oil futures prices down by about 1.3% and Natural Gas prices gave about 4.5% of yesterday’s 7.5% rally back today.  CVOL in the Nat Gas options came down considerably, from about 97 to about 82.  

Today's Future Price Action

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