Key Takeaways with Craig

US Equity Indexes were mostly higher today, led by the Nasdaq, which was up by about 1.25%.  Implied volatility in CME’s Equity Index options markets was near steady from Friday’s closing levels, though vol in the options that expire on Wednesday afternoon, after the scheduled FOMC decision, is higher than in the surrounding expirations. 

US Treasury Yields rose slightly with the 2-Year Treasury Yield future gaining about 1.5 basis points, the 10-Year up by about 3.5 and the 30-Year up by about 6.5.  CVOL at the short end of the yield curve was little changed, while it rose in the options on the longer tenors.  CME’s FedWatch tool was little changed from Friday and still reflected the probability of no change to the Fed Fund Target rate at the March an May meetings and a slightly higher than 50% probability for a cut at the June meeting. 

CME Energy markets were mostly higher today as well, with WTI Crude Oil futures prices up by another 2.2% and Nat Gas up by about 3.25%. 

Finally, cryptocurrency futures remain volatile with Bitcoin prices down by about 2.7% from Friday’s close and Ether prices down by about 5.5%.  Implied volatility in CME’s cryptocurrency options markets remains elevated although it fell slightly today in Bitcoin options and rose by a bit in Ether, which can be seen in the blue line in the top two graphs below.  The options skew, at least as measured by the risk reversal, remains divergent between the two cryptocurrency options.  Bitcoin, on the bottom left, is trading with a slight Call skew, while Ether, on the bottom right, is trading with a slight Put skew.  

Today's Future Price Action

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