Key Takeaways with Craig
US Equity prices rebounded today with all major US indexes trading higher, especially the Nasdaq, which was up by nearly 1.5%. Implied volatility in CME’s Equity Index options markets ticked down, but remains above the multi-year lows we saw toward the end of last year. US Treasury yields were slightly higher, as the Micro 10-Year Yield futures contract was about 3.5 basis points higher and the Micro 2-Year was up by just about a basis point. CVOL levels in CME’s Treasury options declined throughout the entire yield curve, but especially in the 2-Year, which was down from about 145 to 139. CME’s FedWatch tool continues to price in an approximately 57% probability of a cut to the Fed Funds target rate at the March meeting.
In other CME Group markets, WTI Crude Oil futures prices were up by about 2%, Nat Gas was down by over 5% and precious metals futures were mostly higher. Bitcoin futures prices, after trading up to an intra-day high of over 49,000 last week, were down another 4% today to about 41,100; a new one-month low. Similarly, 30-day at the money implied volatility in Bitcoin options has fallen to a high of about 70% to below 50% today; also a one-month low. The price and volatility are represented by the orange and blue lines, respectively, in the top QuikStrike graph below. Somewhat interestingly, after shifting toward a Put skew over the week, the Calls in Bitcoin options were bid over the Puts today, as you can see in the lower QuikStrike graph that represents the 25-Delta Risk Reversal.
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