Key Takeaways with Craig
It was a relatively quiet day to end an eventful two weeks heading into the Thanksgiving holiday in the US. Both US Equity prices and Treasury yields were little changed on the day, but have seen big moves this month. Rather than recapping the week, we’ve recapped the price and volatility changes in some of CME’s major products since Halloween below using QuikStrike and CVOL data. Month to date highlights include:
- Big rally in US Equity Index prices that saw the E-mini S&P 500 rise by about 6.5% and the Nasdaq-100 by 10%. Implied volatility in the options markets declined sharply.
- WTI Crude Oil prices have fallen by about 6% this month and CVOL is down as well.
- Gold prices have been nearly steady but CVOL in the options has fallen by nearly 25%!
- Treasury yields have fallen with the Micro 10-Year Yield Future down by over 40 basis points. The Micro 2-Year has not fallen by as much so the 2s vs 10s inversion has widened to about 40 basis points.
- CVOL in Soybean options has risen steadily all month and is up by about 25% since the end of October.
- Finally, Cryptocurrencies remain volatile; Bitcoin futures are up by about 3% and implied volatility remains elevated versus the levels at which it traded for most of the summer.
We will be back on Monday and Tuesday but will not be publishing In FOCUS on Wednesday nor Friday around the Thanksgiving holiday. We wish all our readers a safe and happy weekend and we’ll see you Monday.
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