Key Takeaways with Craig

US Equity Index prices traded lower today and Treasury Yields were higher after the PPI showed a higher than expected rate of producer price inflation.  CME’s FedWatch tool reflected slightly muted expectations for cuts to the Fed Funds target rate, but not dramatic changes.  We included a “bonus” image on this Friday below that is an excerpt from the FedWatch tool and shows the probabilities of different target ranges as of the December FOMC meeting.  As you can see in the “Now” and “1-Day” columns, there isn’t a significant difference between current expectations from yesterday’s closing values.  Regular readers will recognize the top image below that reflects weekly net price and volatility changes in some of CME’s major products, compiled using QuikStrike and CVOL data, and reflects a week marked mostly by higher volatility. 

  • US Equity indexes were lower, with the E-mini Nasdaq-100 down by nearly 2%.  Implied Volatility in CME’s Equity Index options rose from low levels. 
  • The Euro FX was nearly unchanged versus the US Dollar in CME’s FX futures markets but CVOL dropped to 5.72.  This is the lowest CVOL reading since January, 2022.
  • Natural Gas futures prices were down 13% on the week and, as we’ve written about throughout the week, are trading at prices last seen during the initial months of the COVID 19 Pandemic.  Volatility in the options markets rose this week.
  • Bitcoin futures prices and options volatility are both higher on the week.
  • Treasury yields climbed this week with the 10-Year Yield future higher by about 11 basis points.  The 2-Year was up by about 20 basis points, widening the inversion between the two tenors.  CVOL was up in CME Treasuries across the entire yield curve. 

And that’s a wrap on a week during which both the CPI and PPI showed higher than expected inflation readings, but during which the FedWatch tool showed only muted changes to interest rate policy expectations.  We wish all of our In FOCUS readers a happy, yet football-less, weekend and we’ll see you on Tuesday. 

Today's Future Price Action

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