Key Takeaways with Craig

US Equity Indexes traded mixed to begin the last week of trading in June.  CME’s E-mini Dow futures were up by over 250 points, while the Nasdaq-100 futures were down by over 1% and finished near the day’s lowest levels.  Implied volatility in the E-mini Nasdaq-100 options traded higher, but remains below the 3-month average closing level.  US Treasury yields were little changed today, as was CVOL in the Treasury options. 

Energy markets were active again today as WTI Crude Oil futures prices rose another 1.1% and Nat Gas prices rallied by over 4.5%.  CVOL in the options markets of both traded higher today but remains above the 1-Year average. 

Finally, Bitcoin futures prices fell another 7.4% from Friday’s closing price and are now trading under 60,000 and at prices last seen in the beginning of May.  Somewhat interestingly, implied volatility in CME’s Bitcoin options rose by a bit today, but remains near the low end of a one-standard deviation move down relative to the last three months.  The price (orange line) and implied volatility (blue line) can be seen in the top QuikStrike graph below.  Similarly, using the 25-delta Risk Reversal as a proxy for skew, the Puts are now trading slightly above the Calls, but did not see a dramatic shift, as you can see in the lower QuikStrike image below.  

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