At-a-Glance
Key Takeaways with Craig
US Equity Indexes were little changed today, while Treasury Yields rose, as the market looks toward Friday’s inflation report. Specifically, CME’s 2-Year Yield future was higher by about 5.5 basis points and the 10-Year was up by over 8 basis points. CVOL levels in CME’s Treasury options markets was little changed.
In addition to the PCE (inflation) report that is due out on Friday, the market will also be watching for the Planted Acreage report that will detail how much Corn and Soybeans have been planted for the upcoming season a little later Friday morning (11:00 AM Central Time). Remember, in March, the Prospective Plantings estimates were released, which showed the expected amount and crop mix to be planted, while this will report what was actually planted.
In the graphs below, that are powered by QuikStrike data, we’ve focused on the Corn futures and options markets. Each graph shows the December Corn expiration (we looked at the DEC expiry because, as the “new crop”, it, potentially, can be most impacted by the planted acreage report) with Days to Expiration on the X axis. The top graph illustrates the price of DEC Corn futures with the dotted red line and each year since 2019, with similar Days to Expiration, in the other colored lines. As you can see, only in 2020 was the price of DEC Corn this low at this time of year. The middle graph is similar, but shows the at-the-money implied volatility instead of price. Again, at this time of year, options “vol” has only been this low at this time of year in 2020. However, the bottom graph depicts the skew, using the 25-Delta Risk Reversal as a proxy. This graph shows that the Call volatility relative to the Put volatility is near the average level that it’s been in the prior 5 years at this point on the calendar.
Have a nice summer night and we’ll be back tomorrow!
Todays Featured Videos
Today's Future Price Action
Traders Resources
The information in the market commentaries have been obtained from sources believed to be reliable, but we do not guarantee its accuracy and expressly disclaim all liability. Neither the information nor any opinions expressed therein constitutes a solicitation of the purchase or sale of any futures or options contracts. The information on this site compiled by CME Group is for general purposes only. All information and data herein is provided as-is. Additionally, all examples on this site are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or the results of actual market experience. CME Group assumes no responsibility for any errors or omissions. CME Group, its affiliates and any third party information and content providers expressly disclaim all liability with respect to the information and data contained herein including without limitation, any liability with respect to the accuracy or completeness of any data. You use the data herein solely at your own risk. All data and information provided herein is not intended for trading purposes or for trading advice. All matters pertaining to rules and specifications herein are made subject to and superseded by official CME, CBOT, NYMEX and COMEX rules. Current rules should be consulted in all cases concerning contract specifications.
Neither futures trading nor swaps trading are suitable for all investors, and each involves the risk of loss. Due to the leveraged nature of futures trading and swaps trading, it is possible to lose more than the amount deposited in a position. Therefore, traders should not deposit more funds than they can afford to lose without negatively affecting their lifestyles. A trader cannot expect to profit on each trade, and should only devote a small amount of their available funds to each trade. All references to options refer to options on futures.
Past performance is not necessarily indicative of future performance.
CME Group, the Globe Logo, Chicago Mercantile Exchange, Globex and CME are trademarks of Chicago Mercantile Exchange Inc. CBOT is the trademark of the Board of Trade of the City of Chicago, Inc. NYMEX is the trademark of the New York Mercantile Exchange, Inc. COMEX is a trademark of Commodity Exchange, Inc. All other marks are the property of their respective owners. Each of Chicago Mercantile Exchange Inc. (ARBN 103 432 391), The Board of Trade of the City of Chicago Inc (ARBN 110 594 459), the New York Mercantile Exchange Inc (ARBN 113 929 436) and Commodity Exchange, Inc. (ARBN 622 016 193) is a registered foreign company in Australia and holds an Australian market licence.
This site does not constitute a prospectus, product disclosure statement or legal advice, nor is it a recommendation to buy, sell or retain any specific investment or to utilise or refrain from utilising any particular service. Readers should consult their legal advisors for legal advice in connection with the matters covered on this site.
