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Nasdaq Futures Off Weekly High After May PCE Data

By:Christopher Vecchio, CFA

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

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


  1. Nasdaq 100 E-mini futures (/NQ): +0.03% 

  2. 10-year T-note futures (/ZN): -0.38% 

  3. Silver futures (/SI): +0.40% 

  4. Crude oil futures (/CL): +0.28% 

  5. 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 

Short Put Vertical 

Long 18500 p 

Short 18750 p 

87% 

+540 

-4460 



Nasdaq



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 

Short Put Vertical 

Long 107.5 p 

Short 108 p 

88% 

+62.50 

-437.50 



U.S. Treasuries



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 

Short Put Vertical 

Long 26.5 p 

Short 26.75 p 

83% 

+175 

-1075 



Silver



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 

Short Put Vertical 

Long 74 p 

Short 75 p 

79% 

+170 

-830 


Crude




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 

Short Put Vertical 

Long 1.04 p 

Short 1.045 p 

92% 

+62.50 

-562.50 


Euro futures


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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