At-a-Glance
Key Takeaways with Craig
US Equity Indexes rallied today after the release of the ADP jobs report showed that hiring slowed more than was expected in May. Treasury Yields fell with the 2 and 10-Year Yield futures down by about 4 basis points. Implied volatility in CME’s Equity Index options was little changed on the day and remains relatively low, but CVOL in CME’s Treasury options continued the trend we wrote about yesterday. CVOL levels traded higher, skew continued move further to the Puts and the convexity level traded higher today.
CME Metals markets were active again today as Gold futures prices rose by about 1.25%, Silver was higher by nearly 2% and Copper was up by slightly over 2%. In other markets, Natural Gas prices were 7.5% higher than yesterday’s close and are up by about 43% since the beginning of May. This price action hasn’t been lost on the options market either, as you can see by the three graphs below. From Top to Bottom we show the elevated CVOL level, the Call skew that has continued higher and the continuing elevated convexity level.
As we said yesterday, looing ahead, the May Employment Situation report comes out Friday, which will give us another look at the strength of the domestic jobs market.
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