Key Takeaways with Craig

We’ll call that “coming in like a lamb”, as all four major US Equity Indexes were higher today to begin March trading.  US Treasury Yields declined, with CME’s 2-Year Treasury Yield future down by about 9.5 basis points and the 10-Year down by nearly 7.  With today’s move, the 2-Year Treasury future is down by over 25 basis points just since Tuesday’s close. 

So, even though one year after the Silicon Valley Bank failure injected volatility into the US Equity and Interest Rates markets, another regional bank grabbed financial headlines today, Equity prices continued to rally and volatility in most of CME’s major options markets remains low. 

The image below depicts 12 months of implied volatility data in CME’s major asset classes.  We used the aggregate CVOL level where it was available and 30-day implied volatility in CME’s E-mini S&P 500 options as a proxy for equity index vol.  The red line in each graph is the 12-month average closing level.  As you can clearly see, current vol levels are lower in every instance, though in Energy and Ags, the currently level is close to the 12-month average.  We did think it was worth pointing out a fairly substantial increase in Gold CVOL today and, though it’s not shown, we saw a similar increase in the Calls versus the Puts, as indicated by the Gold skew. 

As always, we hope all our In FOCUS readers have a safe and happy weekend and we’ll be back on Monday to report on a week that will culminate with the February Employment Situation report a week from today. 


Today's Future Price Action

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