At-a-Glance
Key Takeaways with Craig
US Equity prices seemed to struggle to find a clear direction today, but even after a higher than expected PPI report this morning and the release of last months FOMC meeting suggested that Fed officials agreed that rates would need remain elevated until inflation subsides, 3 of the 4 major US Indexes managed gains on the day. Ultimately, price moves were fairly muted ahead of tomorrow’s release of the CPI number that will provide the latest look at consumer inflation in the US. Implied volatility in E-mini S&P 500 and Nasdaq-100 options with 30 days until expiry continued to trade lower today, though the options that expire tomorrow afternoon, after the release of the CPI report in the morning, are trading at elevated levels, as you can see in the QuikStrike graphs below.
US Treasury yields at the longer end of the curve continued to come down with the Micro 10-Year Treasury yield down by about 7 basis points and the 30-Year down by over 10 basis points. The Micro 2-Year was up by about 2 basis points and the magnitude of the inversion between the 2s and 10s has widened back to about 65 basis points. CVOL levels in CME’s Treasury options markets fell from recent high levels.
WTI Crude Oil futures prices fell again today and are trading near 1 month lows, though CVOL remains elevated compared to where it traded during much of the summer and the Calls are trading with higher volatility levels than the Puts compared to the last 6 months, according to CME’s CVOL skew measures.
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