At-a-Glance
Key Takeaways with Craig
US Equity Indexes were mixed today, with the Nasdaq leading gains, as it was up by nearly 1% ahead of tomorrow’s CPI release that is due out at 7:30 AM Central time. As we saw yesterday, implied volatility in CME’s Equity Index options remains elevated in the options that expire tomorrow relative to the more deferred expiries, underscoring the market-moving potential of that inflation number release.
US Treasury yields were lower today, as CME’s 2-Year Treasury future fell by about 6.5 basis points and the 10-Year was down by about 5.5. CVOL in CME’s Treasury options traded higher today, while the skew was slightly lower, in yield terms. Perhaps more notably, convexity in the Treasury options has risen substantially over the last couple weeks. Remember, convexity is the measure of implied volatility in the out of the money options relative to the at the money strikes or, “is the market ‘long the wings’”?
WTI Crude Oil futures prices fell another 3.7% today and are now trading near 3-year lows, as you can see in the top CVOL graph below. CVOL has risen in CME’s WTI Crude Oil options and the the options are trading with a Put skew, which is an indication the Puts are trading at a higher implied volatility level than the Calls. As you can see in the lower CVOL graph, the skew is nearing the lowest it’s been in the last year.
As always, we hope all of our readers have a nice, late-summer evening and we’ll be back tomorrow after the release of the CPI number.
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