At-a-Glance
Key Takeaways with Craig
Once again, US Equity Indexes traded mixed today, this time with the Nasdaq gaining over 1%, while the Dow Jones Industrials fell by about .75%. Implied volatility (“vol”) in CME’s Equity Index options that expire in 30 days was little changed on the day, but the vol in the options that expire this Friday, after the release of the PCE report (an inflation gauge that the Federal Reserve watches), is elevated relative to the options that expire just before and just after Friday. The QuikStrike graphs in the image below, which depict the vol curve in CME’s E-mini S&P 500 and Nasdaq-100 options, illustrate this nicely. The chart below the graphs are an excerpt from CME’s Event Volatility Calculator, which suggests that the options market is pricing in a ~26 point move in the E-mini S&P 500 futures and ~114 point move in the E-mini Nasdaq-100 futures attributable to the number release.
US Treasury Yields were little changed on the day, though CVOL in CME’s Treasury options traded slightly higher. CME Commodity futures prices in were down nearly across the board:
- Ags: Corn (-2.2%) | Soybeans (-1.7%) | Wheat (-2.15%)
- Energy: WTI Crude Oil (-1%) | Natural Gas (-3.5%) |
- Metals: Gold (-.6%) | Silver (-2.2%) | Copper (-1.6%)
Have a great evening and we’ll be back tomorrow.
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