Key Takeaways with Craig
US Equity futures rallied and Treasury yields fell after the CPI report was released this morning, but stock prices fell during morning trading and Treasury yields returned to near steady as the market digested the report and weighed recession probabilities. The Micro 2-Year Treasury future yield was down by about 3 basis points to 3.95 in afternoon trading action, but traded down to 3.803 earlier in the day. Similarly, CME’s FedWatch tool initially reflected a lower probability of a hike to the Fed Funds target rate at the May meeting, but had returned to near 70%, just slightly lower than yesterday, by this afternoon. CVOL levels in Treasury options declined slightly on the day, despite that the PPI will be released tomorrow morning. Implied volatility in CME’s Equity Index options fell as well, even in the options that expire tomorrow, after the PPI is released.
WTI Crude Oil futures prices rose another 2% today, though CVOL levels continued to decline and the skew, according to CVOL, remains toward the Puts. Meanwhile, the US Dollar fell versus most major currencies in CME’s foreign currency futures markets.
While we didn’t see big percentage moves today, we’ve seen a significant rally in cryptocurrency futures prices at CME since about mid-March. In fact, since March 15th, Bitcoin futures prices are up by nearly 24% while Ether futures prices are up by about 15%. Given Bitcoins price gains relative to Ether, we thought we’d take a look at those moves in graphs generated using CME futures data. The top graph below simply depicts the futures settlement prices of both Bitcoin and Ether futures since January, 2022. The lower graph shows the price of Bitcoin divided by Ether so, essentially, the relative value of one cryptocurrency versus the other. Because we graphed Bitcoin/Ether (and not Ether/Bitcoin), the higher the value, the higher the value of Bitcoin is relative to Ether. As you can see, even with the recent outperformance of Bitcoin, it still remains well below the levels at which it was trading versus Ether in the middle of last year.
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