Key Takeaways with Craig

US Treasury Yields spiked today after the May Employment Situation report suggested that the US economy added more jobs than was anticipated, even though the unemployment rate ticked higher.  Specifically, CME’s 2 and 10-Year Treasury Yield futures both rose by over 15 basis points. CME’s FedWatch tool reflected tempered expectations for a cut to the Fed Funds target, though it still suggested approximately a 50% chance of a cut at the September FOMC meeting.  Below is our recap of the net change in price and volatility in some of CME’s major products over the first week of June, using CVOL and QuikStrike data:

  • US Equity Index prices were little changed and implied volatility in the options remains near multi-year lows.
  • WTI Crude Oil futures prices were down by about 3% and CVOL came down substantially.  Last weekend was the OPEC+ meeting, after which volatility dropped in the options markets.
  • Metals were particularly active this week and, after a 3% decline today, was down 2% on the week, while CVOL traded higher. 
  • Even though CME’s 10-Year Treasury Yield future was up by over 15 basis points today, it is still lower on the week.  And, even after a decline today, CVOL in the 10-Year Treasury options was higher on the week.
  • Natural Gas, about which we’ve written extensively here, was up by 14% and CVOL was 26% higher in the options.

Of course the financial news cycle doesn’t stop as next week brings us, among other reports, the CPI and FOMC meeting results on Wednesday.  Have a safe and happy weekend and we’ll see you on Monday.  

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