At-a-Glance
Key Takeaways with Craig
US Equities traded higher today, ahead of tomorrow’s Retail Sales report, while Treasury yields were down just slightly. Interesting action in the Treasury options market where CVOL in the 2-Year options was up by about 10 points from around 164 to 174, while CVOL in the 10-Year options declined by a couple of points, as is illustrated in the top CVOL graph below. A more pronounced diversion occurred in the convexity level of those two tenors, as you can see in the lower graph below. Convexity in the 2-Year options spiked to 3-month highs, while the 10-Year convexity rose slightly. Keep in mind, Convexity is a measure of how high the volatility in the out of the money options is relative to the at the money, or, in other words, how high vol is in the “wings”. Meanwhile, CME’s FedWatch tool continues to price in a 25 basis point reduction to its target rate at the November 7th meeting.
In other CME Group markets, Nat Gas futures prices were down another 4.75%, while CVOL was up slightly, and Silver futures prices were up by about .5% and approaching recent highs. And Finally, Bitcoin futures prices rose again and are trading at levels last seen in mid-August.
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