At-a-Glance
Key Takeaways with Craig
Due to meeting schedules, we’re writing the Key Takeaways during mid-afternoon trading action, but as of now, US Equity Index prices are higher and Treasury yields are little changed as we look toward tomorrow’s release of the CPI number. Somewhat interestingly, even though futures prices are higher in the E-mini Nasdaq-100 and S&P 500 futures, implied volatility in those options markets has risen today.
In other markets, Soybean futures were down by about 1%, WTI Crude Oil was higher by about 1% and Gold was up by about .5%, but was a relatively quiet day before the inflation reading.
Once again, underscoring the market-moving potential of tomorrow’s CPI release, the QuikStrike image below shows the volatility curve in CME’s E-mini Nasdaq-100, and shows the elevated implied volatility level in the options that expire tomorrow afternoon, after the release of the number in the morning. Further, CME’s Event Volatility calculator, which uses the volatility curve to try to estimate the price change in the futures market attributable to an economic event that the options market is pricing, suggests a potential 140 move in the E-mini Nasdaq-100 futures.
Have a great evening and we’ll see you tomorrow!
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