Five futures in focus

Nasdaq 100 Steadies, Russell 2000 Extends Gains After CPI & PPI

By:Christopher Vecchio, CFA

Also, 10-year T-note, silver, crude oil and Japanese yen futures

Five Futures WTD Performance

  1. Nasdaq E-mini futures (/NQ): +0.08% 

  2. 10-year T-note futures (/ZN): -0.07% 

  3. Silver futures (/SI): -2.59% 

  4. Crude oil futures (/CL): +0.84% 

  5. British pound futures (/6B): +0.42% 

On the other side of the June U.S. inflation reports—both the consumer price index (CPI) and the producer price index (PPI)— the bigger winner remains the Russell 2000. Unlike yesterday, however, the S&P 500 and Nasdaq 100, are in positive territory. Elsewhere, U.S. bond yields are ticking higher in the wake of President Joe Biden’s NATO press conference as it appears less likely he will step aside as Democratic nominee. The U.S. dollar remains on its back foot, while reports from Japan last night indicated the Bank of Japan was asking banks for yen quotes, which historically has been the step before an intervention; yen strength yesterday morning may have been aided by Japanese policymakers. 

Symbol: Equities 

Daily Change 

/ESU4 

+0.08% 

/NQU4 

+0.01% 

/RTYU4 

+1.24% 

/YMU4 

+0.21% 

An aggressive short covering rally in small cap stocks may have been the sharp move higher in the Russell 2000 (/RTYU4) yesterday and today, while weakness in the S&P 500 (/ESU4) and Nasdaq 100 (/NQU4)—traders forced to sell down mega cap winners to cover losses in small cap losers. Volatility has ticked up marginally, although without key technical levels breaking, /ESU4 and /NQU4 may be entering another period of consolidation. 

Strategy: (49DTE, ATM) 

Strikes 

POP 

Max Profit 

Max Loss 

Iron Condor  

Long 19000 p 

Short 19250 p 

Short 21750 c 

Long 22000 c 

64% 

+1220 

-3780 

Short Strangle 

Short 19250 p 

Short 21750 c 

70% 

+4695 

Short Put Vertical 

Long 19000 p 

Short 19250 p 

83% 

+680 

-4320 

/NQU4

Symbol: Bonds 

Daily Change 

/ZTU4 

+0.03% 

/ZFU4 

0% 

/ZNU4 

-0.07% 

/ZBU4 

-0.13% 

/UBU4 

-0.25% 

Ever since the first presidential debate, bond yields have acted sensitively to Biden’s election odds: if he remains at the top of the ticket, down-ballot drag is likely, which increases the odds of a Republican trifecta. Gridlock is OK, but singular party control of Congress and the White House likely means increased deficits and debts. With two full rate cuts now discounted for 2024, it stands to reason that domestic politics may be a more potent catalyst in the short-term. 

Strategy (70DTE, ATM) 

Strikes 

POP 

Max Profit 

Max Loss 

Iron Condor  

Long 107.5 p 

Short 108 p 

Short 114 c 

Long 114.5 c 

64% 

+125 

-375 

Short Strangle 

Short 108 p 

Short 114 c 

70% 

+515.63 

Short Put Vertical 

Long 107.5 p 

Short 108 p 

93% 

+46.88 

-453.13 

/ZNU4

Symbol: Metals 

Daily Change 

/GCQ4 

-0.79% 

/SIU4 

-2.59% 

/HGU4 

+1.25% 

The backup in U.S. yields may be spilling over to precious metals, which are unwinding the gains from yesterday. But for both gold (/GCQ4) and silver (/SIU4), breaching the June 7 high—when China announced it ceased adding gold to its reserves for the first time in 18-months—represents an important psychological milestone. With multi-month consolidations in place following aggressive rallies, familiar tenets remain: directional bears should remain cautious until /GCQ4 drops below 2300 and /SIU4 drops below 29. 

Strategy (46DTE, ATM) 

Strikes 

POP 

Max Profit 

Max Loss 

Iron Condor  

Long 27.5 p 

Short 28 p 

Short 34 c 

Long 34.5 c 

65% 

+660 

-1840 

Short Strangle 

Short 28 p 

Short 34 c 

72% 

+3145 

Short Put Vertical 

Long 27.5 p 

Short 28 p 

83% 

+315 

-2185 

/SIU4

Symbol: Energy 

Daily Change 

/CLQ4 

+0.84% 

/HOQ4 

+0.52% 

/NGQ4 

+0.13% 

/RBQ4 

+0.25% 

Energy prices are up across the board to close the week, with crude oil prices (/CLQ4) staging a meaningful rally off of its one-month moving average (daily 21-EMA) in recent sessions. Despite headlines suggesting a truce between Israel and Hamas is increasingly likely, /CLQ4 continues to ignore geopolitics; volatility remains non-existent. 

Strategy (34DTE, ATM) 

Strikes 

POP 

Max Profit 

Max Loss 

Iron Condor  

Long 76 p 

Short 77 p 

Short 87 c 

Long 88 c 

63% 

+260 

-740 

Short Strangle 

Short 77 p 

Short 87 c 

70% 

+1050 

Short Put Vertical 

Long 76 p 

Short 77 p 

82% 

+150 

-850 

/CLQ4

Symbol: FX 

Daily Change 

/6AU4 

+0.21% 

/6BU4 

+0.42% 

/6CU4 

-0.01% 

/6EU4 

+0.21% 

/6JU4 

-0.05% 

The British pound (/6BU4) has emerged at the top of the heap today as the top-performing major currency. In recent sessions, volatility was slowly contracting across the asset class in the wake of the British and French elections. But the quotes check yesterday by the Bank of Japan, one of the ways with which they intervene, reintroduced uncertainty into the space. That said, strong technical trends in non-USD FX coupled with still-elevated volatility means opportunities persist.

Strategy (56DTE, ATM) 

Strikes 

POP 

Max Profit 

Max Loss 

Iron Condor  

Long 1.265 p 

Short 1.27 p 

Short 1.325 c 

Long 1.33 c 

62% 

+100 

-212.50 

Short Strangle 

Short 1.27 p 

Short 1.325 c 

69% 

+381.25 

Short Put Vertical 

Long 1.265 p 

Short 1.27 p 

89% 

+50 

-262.50 

/6BU4

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

For live daily programming, market news and commentary, visit tastylive or the YouTube channels tastylive (for options traders), and tastyliveTrending for stocks, futures, forex & macro. 

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