At-a-Glance
Key Takeaways with Craig
US Equity prices rose again today (though the Russell 2000, which led gains yesterday, was down slightly), while Treasury yields declined. This was the situation prior to the FOMC announcement that they were going to cut the Fed Funds target by another 25 basis points, and it continued throughout the remainder of the afternoon. Specifically, CME’s 2-Year Yield future was lower by about 3 basis points, while the 10-Year was down by about 9. CVOL continued to come off in CME’s Treasury options as you can see in the upper CVOL graph below, while the skew, IN YIELD TERMS, is now toward the Puts in both the 2-Year and 10-Year options (lower graph).
Bitcoin and Ether futures, after a big rally yesterday, were trading lower earlier in the day but recovered and were higher than yesterday’s close in late afternoon action. In fact, Ether prices were higher by another 7%. The Call skew continued in the Ether options, according to the 25 Delta Risk Reversal, as seen on QuikStrike.
In other markets, Gold futures prices recovered some of yesterday’s losses while CVOL continued to decline from pre-election levels. The US Dollar was lower versus most major currencies in CME’s FX futures markets, while CVOL continued to decline there as well.
Have a great evening and we’ll be back tomorrow to wrap up another eventful week!
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