At-a-Glance
Key Takeaways with Craig
US Equity Indexes began the day broadly higher, sold off around mid-day then wound up slightly higher, after this morning’s CPI release that indicated slightly lower inflation than expected. Implied volatility in CME’s Equity Index options was little changed on the day.
US Treasury yields moved higher despite the CPI number, particularly at the longer end of the curve where the Micro 10-Year Treasury future was up by over 7.5 basis points. The Micro 2-Year yield was up by about 3 basis points, slightly narrowing the inversion between the two. That inversion is currently trading at under 65 basis points after reaching nearly 100 bps as recently as July 26th. We’ve included a video that we produced with Scott Bauer in today’s edition of In FOCUS that describes some interesting CVOL movement associated with these yield moves.
Lower volatility continued to be the story in many of CME’s products and asset classes today. As you can see from the “CHG” (daily change) column in the CVOL dashboard excerpt below, volatility declined in almost every product for which CME calculates CVOL.
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