At-a-Glance
Key Takeaways with Craig
CME Financial markets were little changed ahead of tomorrow’s CPI release. In fact, they were so close to unchanged on the day, we thought it was worth pointing out the specifics. Here are some daily net price changes in percentage terms as we approach 4:00 PM Central Time:
- E-mini S&P 500 Futures: -.18%
- E-mini Nasdaq-100 Futures: +.05%
- Micro 10-Year Yield: -3.4 basis points
- Euro FX Futures: -.08%
However, even with the lack of movement in prices, 30-day implied volatility in the E-mini S&P 500 options climbed to the highest level we’ve seen in at least a year as you can see from the blue line in the QuikStrike graph below. Further, the implied volatility in the E-mini S&P 500 options that expire tomorrow, after the release of the CPI number, increased from about 46% to about 56%. We also saw the CVOL level tick up slightly in CME’s 10-Year Treasury Note options, even as the price of the futures remained near steady. So, it would appear the markets are looking toward tomorrow’s inflation number with great anticipation.
We’ll see you back here tomorrow!
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