Key Takeaways with Craig

After a month that has been characterized by extremely low volatility, today was particularly more active as CME Equity Indexes fell and Treasury yields rose.  The 2-Year Yield futures contract was higher by about 6 basis points and the 10-Year was up by about 4.5.  In the Equities, the Dow Jones Industrials was down by over 600 points, while the Nasdaq, which was buoyed earlier in the day by strong technology company earnings, wound up lower by about .50%.  Implied volatility in CME’s Equity Index options and CVOL in the Treasury options ticked higher, but did not see dramatic moves. 

With today’s move in the Treasury markets, CME’s 2-Year Yield future is approaching 5% again (graph on the upper left) and the inversion between the 2s and 10s is at the deepest level it’s been in the last 3 months (graph on the lower left).  The graph on the upper right illustrates that the skew, in yield terms, in the 2-Year has risen, especially relative to the 10-Year options over the last several weeks as well.    

CME Metals markets remain active, with Gold futures prices down by about 2.5%, Silver down by almost 4% and Copper declining by about 1.5%.  However, even with these moves, the CVOL level for the aggregate metals actually declined today, as you can see in the graph on the lower right. 

That’s where we stand as we head into the last day of trading before Memorial Day will mark the unofficial beginning of Summer, here in the US.  

Today's Future Price Action

Traders Resources

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