At-a-Glance
Key Takeaways with Craig
US Equity Indexes traded higher to begin the holiday-shortened week and Treasury Yields, particularly at the longer end of the yield curve fell. In fact, CME’s 2-Year Yield future was down by about 7 basis points in mid-afternoon action, while the 10-Year was down by over 14. With this move, the Yield futures curve is nearly flat between the 2s and the 10s. Remember, in late August, the 10s began yielding higher than the 2s after a long inversion and got to as high as 25 basis points over the 2-Year. CVOL in CME’s Treasury options traded higher.
Natural Gas futures prices were active again, trading over 7.5% higher and near 1-year highs, as the winter weather begins to move into North America. Because of the seasonal nature of Natural Gas pricing, instead of showing the last 12 months of futures prices and volatility, we show the price and implied volatility on (or near when 11/25 was not a business day) 11/25 each year since 2014. As you can see, since 2014, the price of Nat Gas was higher on 11/25 than it is now 4 different times and lower 6 times. The average is a bit higher than the current price, partially due to the high levels in 2022 that were at least partially attributed to geo-political factors.
Remember, CME offers both a standard size Natural Gas product as well as a Micro Natural Gas future that is 1/10 the size of the standard. For example, the dollar value of a minimum price move (.001 MMbtu) in the standard size contract is $10, while in the Micro it represents a $1.00 impact to a trader’s P&L.
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