At-a-Glance
Key Takeaways with Craig
US Equity prices were mixed today and, once again, the small-cap Russell 2000 Index outperformed, up by about 1% versus down slightly in the E-mini S&P 500 and Nasdaq-100. In CME’s options markets, implied volatility ticked lower in the E-mini S&P 500 and Nasdaq-100, but traded higher in the Russell 2000 options. The 25-Delta Calls also traded higher relative to the Puts in the E-mini Russell 2000 options and are nearly trading at the same vol levels. US Treasury yields were down by about 3 basis points at the 2-Year and nearly unchanged further out the curve.
In other markets, WTI Crude Oil futures prices were down by about 1.25%, but closed higher than the day's low levels and Natural Gas futures were lower by about 3%. Bitcoin futures prices remain volatile, falling by about 4% today.
Finally, Japanese Yen futures were higher by about 1% versus the US Dollar, while most other major Foreign Currencies were lower. This move comes ahead of the Bank of Japan policy announcement that is due out next Tuesday night at 9:30 PM Chicago time. The options market reacted as well, with CVOL levels reaching levels that we haven’t seen since the end of April (blue line in the top graph) and skew reaching 3 month highs (purple line in the top graph). The lower graph shows the volatility curve in the Japanese Yen options and, as you can clearly see, the elevated level of vol in the options that expire after the announcement relative to the expiry prior to it.
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