Key Takeaways with Craig
Price action in US Equity Indexes was a bit more muted today, though the Nasdaq underperformed again, and, underscoring this point, the E-mini Nasaq-100 futures price is down by over 3% this week. While implied volatility (“vol”) in both E-mini S&P 500 and Nasdaq-100 options has increased this week, but the move has not been dramatic and remains below the 3-month average. Of course, as we pointed out yesterday, vol in CME’s equity index options that expire tomorrow after the Employment Situation report remains elevated relative to week’s expiries.
US Treasury yields were higher today with he Micro 2-Year Treasury Yield future up by 7.5 basis points and the 10-Year up by about 9. Somewhat quietly, the yield in both of those tenors has increased by about 13-14 basis points this week. CVOL levels in CME’s Treasury options declined today though the skew in the 2-Year rose a bit (Calls were bid versus Puts) and in the 10-Year it fell slightly, again, in yield terms.
In other notable CME market moves Nat Gas futures prices were up by nearly 7% and, after a sell-off yesterday, Bitcoin prices were higher by over 4%. As you can see in the CVOL graph below, Nat Gas prices (dotted line), skew (purple line) and CVOL (solid blue line) have all increased steadily since the middle of December of last year.
Have a great evening and we’ll be back tomorrow after the December jobs report.
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