Key Takeaways with Craig

US Equity prices struggled to find a clear direction again today, but ultimately, all four major US Indexes ended lower.  Implied volatility in CME’s Equity Index options markets ticked lower today and in the E-mini S&P 500 is approaching the 3-month average level.  The implied volatility in the out of the money Calls continues to rise versus that of the Puts.  As you can see in the QuikStrike graph of the Risk Reversal (25 Delta Call volatility minus 25 Delta Put volatility) in the E-mini S&P 500 options, the Calls have increased steadily relative to the Puts over the last couple of weeks.  Somewhat interestingly, since April 29th, the E-mini S&P 500 futures price has declined by about 2.25% while the difference between the Call and Put implied volatility has decreased from about 9% to about 6%. 

US Treasury yields were mostly lower according to CME’s Micro Treasury Yield futures contracts though the shape of the yield curve moved in a unique way:

Micro 2-Year Yield:          -2.3 Basis Points

Micro 5-Year Yield:          -7 Basis Points

Micro 10-Year Yield:        -4.5 Basis Points

Micro 30-Year Yield:        +1 Basis Point

WTI Crude Oil futures prices continued to rise, up another 3% today to over $113 per barrel.  Just since May 10th, WTI Crude prices are up by over 15% though implied volatility remains near the low end of a one standard deviation relative to the last 3 months. 

Finally, Wheat futures prices rose another 6% today and are approaching recent highs and some of the highest prices we’ve seen in history.  Ignoring the spike we saw in the beginning of March when Russia began its invasion of Ukraine, implied volatility in the Wheat options is trading as high as we’ve seen it since mid-2012. 

Today's Future Price Action

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