Nasdaq Futures Off Weekly High After May PCE Data
Nasdaq Futures Off Weekly High After May PCE Data
Also, 10-year T-note, silver, crude oil and Japanese yen futures
Nasdaq 100 E-mini futures (/NQ): +0.03%
10-year T-note futures (/ZN): -0.38%
Silver futures (/SI): +0.40%
Crude oil futures (/CL): +0.28%
Euro futures (/6E): -0.99%
Risk assets are buoyant today in the wake of the first Presidential debate and the May U.S. personal consumption expenditures (PCE) index. Declining inflation rates are helping to prop up both equity index futures and bond markets. Lower yields have filtered through to foreign exchange (FX) markets and precious metals, where a weaker U.S. dollar is giving gold and silver room to rebound from support.
Symbol: Equities | Daily Change |
/ESU4 | +0.22% |
/NQU4 | +0.25% |
/RTYU4 | +0.95% |
/YMU4 | +0.04% |
The final day of the month and the quarter offers an opportunity to look at the first half of the year: the S&P 500 has gained approximately 15%, easily outpacing the post-war average of 4.6%. As we turn the calendar into the second half of the year, volatility remains low and a seasonal tailwind awaits: The first two weeks of July have been the best two weeks of the year for stocks over the past 10 and 20 years, even going back as far back as 1928.
Strategy: (49DTE, ATM) | Strikes | POP | Max Profit | Max Loss |
Iron Condor | Long 18500 p Short 18750 p Short 21000 c Long 21250 c | 63% | +1360 | -3640 |
Short Strangle | Short 18750 p Short 21000 c | 69% | +4650 | x |
Short Put Vertical | Long 18500 p Short 18750 p | 87% | +540 | -4460 |
Symbol: Bonds | Daily Change |
/ZTU4 | +0.07% |
/ZFU4 | +0.14% |
/ZNU4 | +0.17% |
/ZBU4 | +0.18% |
/UBU4 | +0.12% |
The May U.S. PCE index came in on the screws but that was enough for active investors to up their Federal Reserve interest rate cut bets in the wake of the data. Fed commentary in recent days has been cautious regarding the market’s expectation that a September rate cut would be appropriate, but the balance of data over the past two sessions (durable goods and PCE) suggest the U.S. economy is losing momentum. Bonds are up across the curve, continuing to retrace the losses from Wednesday’s session. There are no noteworthy Treasury auctions next week with the July 4 holiday on Thursday.
Strategy (56DTE, ATM) | Strikes | POP | Max Profit | Max Loss |
Iron Condor | Long 107.5 p Short 108 p Short 113 c Long 113.5 c | 62% | +125 | -375 |
Short Strangle | Short 108 p Short 113 c | 68% | +515.63 | x |
Short Put Vertical | Long 107.5 p Short 108 p | 88% | +62.50 | -437.50 |
Symbol: Metals | Daily Change |
/GCQ4 | +0.56% |
/SIU4 | +2.29% |
/HGU4 | +1.95% |
Lower U.S. yields and a softer U.S. dollar are exactly the antidote that precious metals need to sustain their multi-month ranges. Gold prices (/GCQ4) are holding above 2300, while silver prices (/SIU4) have rallied back to near 29.50. Volatility has come in for both /GCQ4 and /SIU4 throughout June, making bullish perspectives cheaper to express.
Strategy (60DTE, ATM) | Strikes | POP | Max Profit | Max Loss |
Iron Condor | Long 26.5 p Short 26.75 p Short 32.75 c Long 33 c | 63% | +355 | -895 |
Short Strangle | Short 26.75 p Short 32.75 c | 72% | +3355 | x |
Short Put Vertical | Long 26.5 p Short 26.75 p | 83% | +175 | -1075 |
Symbol: Energy | Daily Change |
/CLQ4 | +0.32% |
/HOQ4 | +0.3% |
/NGQ4 | +1.12% |
/RBQ4 | +0.53% |
The drumbeat of war between Israel and Hezbollah continues to grow, and the clarion call of rising tensions in the Middle East is enough for traders to push crude oil prices (/CLQ4) in the face of a deteriorating supply-demand situation. Volatility has started to tick up (IVR: 17.7) but remains low enough that oil may no offer a compelling trade opportunity at the moment. A daily close outside of the 80/82 range may offer directional active investors more conviction in the short-term.
Strategy (48DTE, ATM) | Strikes | POP | Max Profit | Max Loss |
Iron Condor | Long 74 p Short 75 p Short 89 c Long 90 c | 62% | +260 | -740 |
Short Strangle | Short 75 p Short 89 c | 70% | +1560 | x |
Short Put Vertical | Long 74 p Short 75 p | 79% | +170 | -830 |
Symbol: FX | Daily Change |
/6AU4 | +0.44% |
/6BU4 | +0.04% |
/6CU4 | +0.03% |
/6EU4 | 0% |
/6JU4 | +0.25% |
Forex traders are waiting on tenterhooks for two events to pass, one of which is guaranteed (the first round of the French parliamentary elections this Sunday) and the other, which is purely speculative (whether or not the Bank of Japan will intervene to support its ailing currency).
For the former, the euro (/6EU4) is in a holding pattern , unchanged on the day. For the latter, the appointment of Atsushi Mimura as the new FX chief has allowed the Japanese yen (/6JU4) some relief amid hopes that a more forceful response may be coming.
Strategy (42DTE, ATM) | Strikes | POP | Max Profit | Max Loss |
Iron Condor | Long 1.04 p Short 1.045 p Short 1.095 c Long 1.1 c | 59% | +200 | -425 |
Short Strangle | Short 1.045 p Short 1.095 c | 66% | +650 | x |
Short Put Vertical | Long 1.04 p Short 1.045 p | 92% | +62.50 | -562.50 |
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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