Key Takeaways with Craig

US Equity prices began the day broadly higher, but quickly began to sell-off earlier in the morning.  By the end of the day, all four major US indexes were trading lower, led by the Nasdaq and the small-cap Russell 2000, which were down by 1.75% and 1.5%, respectively.  Perhaps unsurprisingly, implied volatility in CME’s Equity Index options markets continued to trade higher today, though it does remain below the levels of last September and October when an increase in Treasury yields led to an equity market sell-off.

Treasury yields also traded higher today, particularly at the long end of the yield curve, where CME’s 10-Year Yield Future was up by about 12 basis points and the 30-Year was up by about 12.  As we wrote about on Friday, the reaction in the Treasury options has been even more pronounced.  The top graph below depicts the CVOL level in the aggregate Treasury options and the lower graph shows the convexity.  As you can see, not only has implied volatility spiked, but the out of the money options have risen much more relatively to the at the money, which is what the measure of convexity represents. 

In other CME Group markets, CVOL in CME’s FX options markets continued higher today, and is up by over 33% since the last week in March.  WTI Crude Oil futures prices were little changed, but CVOLwas up from about 34 to nearly 38.  And Gold prices were up by 1% while Silver increased by over 2%. 

Have a nice evening, enjoy the beautiful spring weather for those in the Chicago area and we’ll see you tomorrow.  

Today's Future Price Action

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