Key Takeaways with Craig

US Equity Indexes traded lower today, led by the Nasdaq and Russell 2000, which were down by about 1% and 1.5%, respectively.  Not surprisingly, implied volatility jumped with the price declines, as E-mini Nasdaq-100 implied volatility traded up to levels we last saw at the beginning of November of last year.  While there aren’t as many economic reports due out this week, the market will be watching the corporate earning report of Nvidia, which is set for Wednesday after the close.  Perhaps that has something to do with the E-mini Nasdaq-100 volatility curve which, as you can see in the image below, reflects heightened volatility in the Wednesday and Thursday expirations.

US Treasury yields saw muted price moves in today’s trading, though CVOL levels in CME’s Treasury options continued to climb.  We have seen a bit of a divergence in skew between the 2-Year Treasury options and the 10-Year Treasury options.  The 10-Year options are trading with a slightly Call skew, in yield terms, while the 2-Year, particularly after the last couple of trading sessions continue to trade with a Put skew. 

Finally, CME Cryptocurrency markets remain active, this time with Ether futures outperforming.  While Bitcoin futures were up just slightly from Friday’s closing price, Ether was up by over 7% and traded over 3,000 for the first time in a long time.  

Today's Future Price Action

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