Key Takeaways with Craig

US Equity Index prices wound up mixed and somewhat little changed again today, while the Treasury yields fell.  CME’s 2-Year Treasury yield future was down by about 3.5 basis points while the 10-Year was down by about 7.5.  Implied volatility in CME’s Equity Index options was little changed, but we’ve seen a pronounced move in the Treasury options.

In the CVOL graphs below, we show the CVOL level (top left graph), Skew (bottom left graph) and Convexity (right graph) of the aggregate Treasury as measured by CME’s CVOL indexes.  The aggregate treasury is a measure of these volatility elements that incorporates the 2, 5, 10 and 30-Year volatility.  Remember, CVOL is the overall level of implied volatility, Skew is the measure of how high the implied volatility is in the Calls relative to the Puts and Convexity is the measure of how high the implied volatility is in the out- of-the money options relative to how high it is in the at-the-money options.  As you can clearly see, not only has the options market positioned itself for greater volatility, but the Puts have been bid relative to the Calls and the out of the money options have increased in vol relative to the at the money options. 

In other CME markets metals were active again today with Gold futures prices down by about 1%, Silver down by about 3.5% and Copper down by about 2.5%, though CVOL levels were little changed in those options markets.  While the major currencies were mixed relative to the US Dollar in CME’s FX futures markets, we did see CVOL level in the FX options markets tick higher. 

Looking ahead, the market will be watching several different economic reports this week including Friday’s release of the May Employment Situation (“jobs”) report.  Have a great evening and we’ll be back tomorrow.  

Today's Future Price Action

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