At-a-Glance
Key Takeaways with Craig
After a rough beginning to the month for Equity prices last week, the major US Indexes rebounded today, as the E-mini S&P 500, Nasdaq-100 and Dow were all higher by 1-1.25%. Despite the sharp price rally, implied volatility in CME’s Equity Index options ticked down just slightly.
US Treasury yields were higher at the 2 and 10-Year maturities to begin the day, but by late afternoon trading, CME’s 10-Year Yield future was nearly unchanged while the 2-Year was up by about 3 basis points. CVOL in CME’s Treasury options market continued to fall today.
Other notable moves in CME’s markets today include:
- Natural Gas futures prices down by about 5.75%
- Silver futures prices up by about 1.75%
- Copper futures prices up by about 1.6%
- CVOL in Nat Gas options traded higher from about 60 on Friday to over 67 today, while CVOL in the metals markets both declined
Looking ahead, Wednesday brings us the US CPI number, which will provide one of the last inflation readings for the Federal Reserve ahead of the September FOMC meeting and on Thursday, the WASDE (agriculture supply/demand) report will be released along with the US PPI reading. Similar to last week, when we published the volatility curve in CME’s Equity Index options that reflected significantly higher volatility after Friday’s Employment report, this week, the vol curve for CME’s E-mini Nasdaq-100 options reflects the market-moving potential of the mid-week inflation numbers, as you can see below.
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