Nasdaq 100 Churns Near August High Amid Mixed Bonds
Nasdaq 100 Churns Near August High Amid Mixed Bonds
Also five-year T-note, copper, crude oil and Canadian dollar futures
- Nasdaq 100 E-mini futures (/NQ): -0.21%
- Five-year T-note futures (/ZF): -0.01%
- Copper futures (/HG): +0.72%
- Crude oil futures (/CL): +0.44%
- Canadian dollar futures (/6C): +0.18%
The holiday week may be in the rearview mirror, but trading conditions remain relatively muted in the four major U.S. equity indexes. Bonds are mixed if not slightly lower across the curve, which hasn’t hampered the continued strength in metals markets. Elsewhere, energy prices are trying to push higher ahead of the OPEC+ meeting set for Thursday.
Symbol: Equities | Daily Change |
/ESZ3 | -0.21% |
/NQZ3 | -0.21% |
/RTYZ3 | -0.26% |
/YMZ3 | -0.09% |
U.S. equity markets are marginally weaker for a second straight day. The Russell 2000 (/RTYZ3) is leading the way lower, barely off by more than one quarter of a percentage point. Earnings season is effectively finished, and the macroeconomic calendar is decidedly bare until Federal Reserve Chair Jerome Powell speaks on Friday. The cash VIX was last seen at 12.86, just off of the lows of the year established last week at 12.45.
Strategy: (31DTE, ATM) | Strikes | POP | Max Profit | Max Loss |
Iron Condor | Long 15900 p Short 15950 p Short 16450 c Long 16500 c | 28% | +660 | -340 |
Long Strangle | Long 15900 p Long 16500 c | 44% | x | -6205 |
Short Put Vertical | Long 15900 p Short 15950 p | 65% | +305 | -695 |
Symbol: Bonds | Daily Change |
/ZTZ3 | -0.03% |
/ZFZ3 | -0.01% |
/ZNZ3 | -0.03% |
/ZBZ3 | +0.03% |
/UBZ3 | 0.00% |
Following the ugly two-year note auction and better five-year note auction yesterday, U.S. Treasury bonds are mixed across the curve. The 2s10s spread has steepened by 4.8-basis points (bps) to -45.4-bps overall. A seven-year note auction later in the day caps off the meaningful Treasury auctions for the week; bill auctions are on the agenda over the next few days, which rarely influence investor sentiment outside of periods when the U.S. government is heading toward a shutdown.
Strategy (24DTE, ATM) | Strikes | POP | Max Profit | Max Loss |
Iron Condor | Long 105 p Short 105.25 p Short 107.75 c Long 108 c | 62% | +78.13 | -171.88 |
Long Strangle | Long 105 p Long 108 c | 26% | x | -218.75 |
Short Put Vertical | Long 105 p Short 105.25 p | 86% | +46.88 | -203.13 |
Symbol: Metals | Daily Change |
/GCZ3 | +0.35% |
/SIZ3 | +0.12% |
/HGZ3 | +0.72% |
Metals are up across the board amid a weaker U.S. Dollar and mixed U.S. Treasury yields, but it’s copper prices (/HGZ3) that are leading the way higher. The top court in Panama ruled a 20-year contract for a Canadian-run copper mine unconstitutional, wrapping up a saga that produced protests and disruptions to operations around Minera Panama’s port in Colon. The pop higher in /HGZ3 may be reflected perceived supply reductions, not necessarily a sign of an expected increase in demand.
Strategy (28DTE, ATM) | Strikes | POP | Max Profit | Max Loss |
Iron Condor | Long 2010 p Short 2015 p Short 2065 c Long 2070 c | 32% | +320 | -180 |
Long Strangle | Long 2010 p Long 2070 c | 41% | x | -2660 |
Short Put Vertical | Long 2010 p Short 2015 p | 70% | +170 | -330 |
Symbol: Energy | Daily Change |
/CLF4 | +0.44% |
/HOZ3 | +0.29% |
/NGF4 | -1.04% |
/RBZ3 | +0.42% |
OPEC+ is set to finally meet in two days, but reports indicate smaller member states are still resisting either quota or production cuts to help curtail supply into early 2024. Some semblance of a cut is expected, which may be one of the reasons crude oil prices (/CLF4) have steadied in recent days. That said, positioning in the futures market is quickly approaching its lowest level of the year, which itself was smallest net-long position in over a decade.
Strategy (24DTE, ATM) | Strikes | POP | Max Profit | Max Loss |
Iron Condor | Long 73.75 p Short 74 p Short 76.5 c Long 76.75 c | 10% | +220 | -30 |
Long Strangle | Long 73.75 p Long 76.75 c | 47% | x | -6840 |
Short Put Vertical | Long 73.75 p Short 74 p | 53% | +100 | -150 |
Symbol: FX | Daily Change |
/6AZ3 | +0.11% |
/6BZ3 | +0.06% |
/6CZ3 | +0.18% |
/6EZ3 | +0.06% |
/6JZ3 | +0.13% |
The Canadian dollar (/6CZ3) continues to post gains quietly in the first half of the week, rising to its best level since early October. Even though energy markets have struggled in recent weeks, the loonie has showcased rare resiliency that may leave it strongly situated to take advantage of a potential rebound in crude oil prices (/CLF4). Notably, /6CZ3 has broken the downtrend of the July and September highs.
Strategy (38DTE, ATM) | Strikes | POP | Max Profit | Max Loss |
Iron Condor | Long 0.71 p Short 0.715 p Short 0.755 c Long 0.76 c | 82% | +60 | -440 |
Long Strangle | Long 0.71 p Long 0.76 c | 10% | x | -50 |
Short Put Vertical | Long 0.71 p Short 0.715 p | 97% | +20 | -480 |
Christopher Vecchio, CFA, tastylive’s head of futures and forex, has been trading for nearly 20 years. He has consulted with multinational firms on FX hedging and lectured at Duke Law School on FX derivatives. Vecchio searches for high-convexity opportunities at the crossroads of macroeconomics and global politics. He hosts Futures Power Hour Monday-Friday and Let Me Explain on Tuesdays, and co-hosts Overtime, Monday-Thursday. @cvecchiofx
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