Key Takeaways with Craig

US Equity prices rallied during Fed Chairman Jerome Powell’s remarks following the announcement that the FOMC was not changing the Fed Funds target rate, but then oscillated in a volatile last half hour of cash equity market trading.  The 2 and the 10-Year Treasury Yield futures were down by about 7.5 and 5.5 basis, respectively, while the small-cap Russell 2000 index led the gains in the equities.  Implied volatility in CME’s Equity Index options and CVOL in the Treasury options was down just slightly, as the market awaits Friday’s April Employment Situation report. 

WTI Crude Oil futures prices fell by about 3.25% today and are now down about 9% since the recent high on April 5th.  The top CVOL graph below shows the price of WTI Crude Oil over the last six months and, as you can see, are at levels we last saw in the middle of March.  CVOL levels are still relatively low versus the last six months but, as you can see in the bottom CVOL graph below, the skew has moved decidedly toward the Puts since the middle of April.  Remember, CVOL skew is a measure of the implied volatility of the Calls relative to that of the Puts, so a downward move suggests that the vol in the Puts has increased relative to that in the Calls.  

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