Key Takeaways with Craig

US Equity Index prices spent most of the day in the red, but a remarkable, though choppy, late-day rally led to mostly higher prices as we head into tomorrow’s CPI release.  US Treasury Yields were lower, as CME’s 2-Year Yield future down by almost 4 basis points and the 10-Year lower by about 6.  Implied volatility in CME’s E-mini Index options and CVOL in the Treasury options were both little changed on the day.  As we wrote about yesterday, the options that expire tomorrow, after the CPI number is scheduled to be released, are trading at much higher vol levels than the more deferred expiries.  This was reflected in CME’s Event Volatility Calculator which suggests the options market is assigning a 180 point move in the E-mini Nasdaq-100 price attributable to the number release. 

In other CME Group markets, WTI Crude Oil prices were lower by about 1.3% while precious metals markets continued to move higher.  Both Gold and Silver futures prices extended recent gains with Gold up by about .65% and Silver up by another 1.3%. 

Finally, as we look toward the latest read on domestic inflation tomorrow, we’ve seen another slight divergence in the skew between the 2-Year and 10-Year Treasury options.  As you can see in the CVOL graph below, the 2-Year options are trading with a decided Put skew, while the 10-Year has remained fairly neutral. 

Have a great night and we’ll be back tomorrow reporting on the market action after tomorrow’s events.  

Today's Future Price Action

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