At-a-Glance
Key Takeaways with Craig
US Equity prices rallied ahead of tomorrow’s January Jobs report, while US Yields at the longer end of the curve fell. While the Micro 2-Year Treasury Yield futures contract was near steady, the Micro 10 and 30-Yied were both down by about 10 basis points and CVOL levels in CME’s US Treasury options shot higher today. Meanwhile, according to CME’s FedWatch tool, the probability of the FOMC cutting its Fed Funds target rate at the March meeting fell from about 54% to about 37%.
In other CME Group markets, WTI Crude Oil futures prices fell by about 2.5% and Nat Gas was nearly 3% lower. CVOL rose in both of those options markets as well.
As we mentioned, CVOL levels in CME’s Treasury markets jumped today and the skew, in yield terms, has shifted decidedly toward the Puts. The CVOL graph below illustrates this nicely with the 2-Year depicted in orange and the 10-Year depicted in blue.
Have a great evening, enjoy the unseasonable warmth for those here in Chicago and we’ll see you tomorrow after the Jobs number.
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