Key Takeaways with Craig

A quieter day greeted the week in CME’s financial and commodity markets, as equity prices rose slightly and US Treasuries were near steady on the day.  Somewhat interestingly, despite the lack of price movement, implied volatility in CME’s Equity Index options actually rose slightly today and CVOL in the Treasury options traded higher as well.  Perhaps the increase in volatility has something to do with the pending release of the CPI on Wednesday, as reflected in the volatility curve in the E-mini S&P 500 and Nasdaq-100 options which shows the vol in the options that expire Wednesday is trading higher than the options that expire tomorrow and later in the week. 

The CVOL action in the Treasury options market was even a bit more pronounced.  As you can see in the top chart below, which graphs CVOL levels in the 2 (orange) and 10-Year (blue) Treasury options over the last six months, CVOL was bid up noticeably today.  The lower chart shows that the skew, in yield terms, in the two options markets has somewhat diverged over the last month.  The 10-Year options skew is trading near neutral territory, while the skew in the 2-Year options is trading with a demonstrable Put skew. 

Due to vacation schedules, we will use this column to feature some CME Group tools over the next few days. Please enjoy the content and we’ll be back later in the week.

Today's Future Price Action

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