Russell 2000, 30-year T-Bonds, Silver, Crude Oil, and Japanese Yen Futures
Russell 2000, 30-year T-Bonds, Silver, Crude Oil, and Japanese Yen Futures
This Morning’s Five Futures in Focus
- Russell 2000 e-mini futures (/RTY): -0.08%
- 30-Year T-bond futures (/ZB): +0.32%
- Silver (/SI): -0.93%
- Crude oil futures (/CL): -0.48%
- Japanese yen futures (/6J): +0.31%
Amid a quieter week for U.S. earnings and macro data, traders’ collective focus has shifted abroad to Asia and Europe–and traders aren’t liking what they’re seeing. Renewed focus on the Chinese property debt bubble and deterioration in Europe’s growth prospects have dented optimism across asset classes. Even so, volatility metrics remain largely depressed across the board.
Symbol: Equities | Daily Change |
/ESU3 | -0.27% |
/NQU3 | -0.33% |
/RTYU3 | -0.08% |
/YMU3 | -0.27% |
The dramatic underperformance that defined Tuesday for the Russell 2000 (/RTYU3) has not continued into Wednesday. Softer energy prices coupled with a relaxation in U.S. Treasury yields had released some of the pressure building up around worries about the path of inflation. Remerging concerns about China’s property debt bubble may be holding back enthusiasm for a rebound in U.S. stocks. The Nasdaq 100’s (/NQU3) leadership to the downside, even in an environment of receding U.S. yields, is noteworthy.
Strategy: (8DTE, ATM) | Strikes | POP | Max Profit | Max Loss |
Iron Condor | Long 1840 p Short 1850 p Short 1910 c Long 1920 c | 40% | +217.50 | -282.50 |
Long Strangle | Long 1840 p Long 1920 c | 42% | x | -630 |
Short Put Vertical | Long 1840 p Short 1850 p | 71% | +100 | -405 |
Symbol: Bonds | Daily Change |
/ZTZ3 | +0.07% |
/ZFZ3 | +0.09% |
/ZNZ3 | +0.14% |
/ZBZ3 | +0.32% |
/UBZ3 | +0.40% |
A safe haven-seeking environment has taken shape overnight as U.S. Treasury bonds have rallied, stocks are lower, and both the U.S. dollar and the Japanese Yen are rallying. For the first time since last Thursday, bonds are rallying across the curve. The move, led by the long end, comports with the narrative that markets are exhibiting increased concern over the near-term global economic outlook; growth expectations are dissipating.
Strategy (16DTE, ATM) | Strikes | POP | Max Profit | Max Loss |
Iron Condor | Long 118.5 c Short 119 p Short 124 c Long 124.5 c | 52% | +218.75 | -281.25 |
Long Strangle | Long 118.5 c Long 124.5 c | 30% | x | -937.50 |
Short Put Vertical | Long 118.5 c Short 119 p | 61% | +187.50 | -296.88 |
Symbol: Metals | Daily Change |
/GCV3 | -0.13% |
/SIU3 | -0.93% |
/HGU3 | -1.12% |
Silver prices (/SIU3) remain under pressure despite some buying against the U.S. dollar after trading to a nearly six-month high. While Federal Reserve rate hike expectations have weakened over the past several weeks, traders have firmed up their bets that the European Central Bank will need to continue hiking rates. Technically speaking, /SIU3 has been coiling into a contracting range in recent months.
Strategy (20DTE, ATM) | Strikes | POP | Max Profit | Max Loss |
Iron Condor | Long 23.35 p Short 23.4 p Short 23.5 c Long 23.55 c | 6% | +240 | -10 |
Long Strangle | Long 23.4 p Long 23.5 c | 46% | x | -4,515 |
Short Put Vertical | Short 23.4 p Long 23.35 p | 60% | +105 | -145 |
Symbol: Energy | Daily Change |
/CLV3 | -0.48 |
/NGU3 | -1.28% |
Crude oil (/CLV3) is taking a breather as traders reassess the global economic landscape following yesterday’s announcements from Saudi Arabia and Russia. While European and Chinese growth are showing signs of trouble, the United States is seeing upgraded growth targets. Traders will have their eyes on inventory data from the American Petroleum Institute (API) due today.
Strategy (41DTE, ATM) | Strikes | POP | Max Profit | Max Loss |
Iron Condor | Long 85.5 p Short 86 p Short 87 c Long 87.5 c | 9% | +460 | -40 |
Long Strangle | Long 86 p Long 87 c | 48% | x | -5,720 |
Short Put Vertical | Long 85.5 p Short 86 p | 50% | +250 | -250 |
Symbol: FX | Daily Change |
/6AZ3 | +0.07% |
/6BZ3 | -0.12% |
/6CZ3 | -0.16% |
/6EZ3 | +0.14% |
/6JZ3 | +0.31% |
The sharp declines experienced by the Japanese Yen (/6JZ3) at the start of the week have been partially reversed. Thanks to verbal intervention from Japanese Ministry of Finance Vice Minister Masato Kanda, who said that officials “won’t rule out” a response to the Yen depreciation, the Yen is leading the major currencies versus the U.S. dollar. Meanwhile, the Canadian dollar (/6C) has continued to weaken amidst a streak of disappointing inflation and growth data; the September Bank of Canada rate decision is later today, where no move is anticipated.
Strategy (30DTE, ATM) | Strikes | POP | Max Profit | Max Loss |
Iron Condor | Long 0.0067 p Short 0.00675 p Short 0.00705 c Long 0.0071 c | 61% | +200 | -425 |
Long Strangle | Long 0.0067 p Long 0.0071 c | 24% | x | -375 |
Short Put Vertical | Long 0.0067 p Short 0.00675 p | 83% | +100 | -525 |
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
Thomas Westwater, a tastylive financial writer and analyst, has eight years of markets and trading experience. @fxwestwater
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