At-a-Glance
Key Takeaways with Craig
US Equities prices rose modestly today, with the Dow Jones Industrials the big winner, up by nearly 1%. The rise in stock prices came even in the face of the continuing rise in Treasury yields, specifically at the longer end of the curve where the Micro 10-Year and 30-Year futures were up by about 7 basis points each. All four tenors are now trading at over 4% and implied volatility in the Treasury options markets continues to climb, according to CME’s CVOL index. It is also worth noting that CME’s FedWatch tool is now placing approximately a 30% probability of a 50 basis point hike to its Fed Funds target rate at the March meeting; up from close to 0% a month ago.
The US Dollar gained relative to other major currencies in CME’s FX futures markets, perhaps somewhat in response to increasing rates. In CME’s FX options markets, the CVOL level of the aggregate G5 currencies was slightly lower today but the skew has continued to rise toward the Calls. As you can see in the CVOL skew image below, at 0, the Calls and Puts are trading near the same implied volatility levels.
Finally, CME’s commodity markets were relatively quiet today as Corn, Soybean, Wheat, WTI Crude Oil, Natural Gas, Gold and Silver futures all had net price changes of less than 1% on the day.
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