Key Takeaways with Craig

US Equity prices began the week lower, though the major US Indexes closed off of the day’s earlier lows.  Meanwhile, US Treasury yields continued higher with the 2-Year Treasury Yield future up by over 10 basis points and the 10-Year Yield is up by nearly 14 bps.  Interestingly, despite the E-mini S&P 500 future price sell-off of about 20 points, implied volatility in the options traded lower today. 

With today’s move, the 2-Year Treasury Yield has risen by over 26 basis points and the 10-Year Treasury Yield is up by over 31 bps since last Thursday, as you can see in the graph that was taken from CME’s CurveWatch tool below.  This also hasn’t been lost on CME’s Fed Funds futures, as reflected in the FedWatch tool.  That tool now suggests an 83.5% chance of no change to the Fed Funds target rate at the March meeting; up form 32% a month ago.  The probability of no change to the target rate by the May meeting has risen to nearly 40% from 5% a month ago.  

In other CME Group markets, Gold futures prices fell by about .6% and the US Dollar was higher versus most major currencies in the FX futures markets, perhaps both correlated with the rise in interest rates.   CVOL levels in both the Gold and FX options traded higher today. 

Today's Future Price Action

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