At-a-Glance
Key Takeaways with Craig
US Equity prices initially sold off after the CPI was released this morning, but had largely recovered by early afternoon action, as the E-mini Nasdaq-100 was higher by about .75%. This in the face of slightly higher yields (the 10-Year Treasury Yield future was up by about 5 basis points and the 2-Year was up by about 3) and the FedWatch tool that suggests the probability of a 50 basis point cut to the Fed Funds target rate declined from 34% yesterday to about 13% today. CVOL in CME’s Treasury options declined slightly and implied volatility in the Equity Index options was near steady. The market will be watching another inflation number this week, as the PPI is due to be released tomorrow morning.
Tomorrow also brings us the release of the USDA WASDE (supply/demand) report that will provide a look into the current crop and livestock estimates. Ahead of that, we took a look at CME’s Corn futures and options markets. To put the current price and implied volatility in historical perspective, we looked at the current levels of the December contract (“New Crop”), which is denoted by the dotted red line in the graphs below that were compiled using QuikStrike data, against the years from 2019 through 2023, with the number of Days until Expiration on the horizontal axis. As you can see, implied volatility, since 2019, implied volatility has never been this low with a similar days until expiry and the price of Corn is near the lower range of where it’s been.
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