At-a-Glance
Key Takeaways with Craig
US Equity Index prices began the day in positive territory, then sustained those gains after the FOMC minutes from the September meeting showed there was some debate over the size of the cut to the target rate at that meeting. US Treasury yields gained, with the 2-Year Treasury Yield future up by about 4.5 basis points and the 10-year up by about 3.5. The spread between the two is trading at about 10 basis points. CVOL in CME’s 2-Year Treasury options jumped from about 142 to about 157 today and the probability for “no change” to the Fed’s monetary policy at the November meeting increased from 14.8% yesterday to about 21% today, according to CME’s FedWatch tool. All of this, of course, is ahead of tomorrow’s CPI release, scheduled for 7:30 AM Central Time.
We’ll leave our readers with a CVOL graph of the skew, in yield terms, of CME’s 2-Year Note options, heading into tomorrow’s CPI release. As you can see, the Calls are trading nearly as high, relative to the Puts, as they have in about a year, as the options market positions itself for potential upside risk at the short end of the yield curve.
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