Key Takeaways with Craig
US Equities were mixed again today, ahead of tomorrow’s anticipated release of the CPI report, while US Treasury yields were little changed on the day. Once again, volatility in CME’s Equity Index options with deferred expirations was little changed, though the options that expire tomorrow and Thursday (after the CPI and PPI reports) traded higher today. Along those lines, CME’s Event Volatility Calculator, which seeks to measure the impact that economic releases, such as CPI, might have on the price of futures using the implied volatility curve, suggests that the options market is pricing in a 33 point move in the E-mini S&P 500 futures and a ~140 point move in the price of the E-mini Nasdaq-100 futures attributable to the CPI release. The QuikStrike graphs below illustrate the heightened volatility in the near-term options in both the E-mini S&P 500 (top) and Nasdaq-100 (bottom).
CME Energy markets were higher today as WTI Crude Oil futures prices gained over 2% and Nat Gas was up by a similar amount. In the metals futures markets, Gold prices were up by nearly 1%, Silver was higher by just over 1% and Copper was up by about 1.5%. Finally, cryptocurrency futures continued to rally with Bitcoin prices up by nearly 3%, though Ether futures were near steady today.
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