Five futures in focus

S&P 500 Grinds Higher as Quiet Sets in Ahead of Presidential Debate and CPI Report

By:Christopher Vecchio, CFA

Also, 30-year T-bond, gold, crude oil and euro futures

Five Futures WTD Performance
  1. S&P 500 E-mini futures (/ES): +0.32% 

  2. 30-year T-bond futures (/ZB): 0% 

  3. Gold futures (/GC): +0.39% 

  4. Crude oil futures (/CL): -0.57% 

  5. Euro futures (/6E): -0.09% 

Global financial markets appear to be downshifting into a holding pattern ahead of key data releases later this week. U.S. equity markets are modestly higher, while bond yields are mixed across the curve. The release of the August U.S. consumer price index (CPI) and producer’s price index (PPI) reports over the next two days will draw attention, but now that the Federal Reserve has shifted its attention to the labor market, these inflation data may not pack the same punch from earlier this year. Similarly, the Presidential Debate this evening may help traders better position for a Republican trifecta or a Democratic presidency with a Republican congress.

Symbol: Equities 

Daily Change 

/ESU4 

+0.32% 

/NQU4 

+0.36% 

/RTYU4 

+0.18% 

/YMU4 

+0.14% 

S&P 500 futures (/ESU4) continued to move higher this morning, extending yesterday’s advance that followed a big down week for indexes. Oracle (ORCL) surged over 9% in pre-market trading after posting strong quarterly results and announcing a partnership with Amazon (AMZN). The recently listed Rubrik (RBRK) posted disappointing results after the bell yesterday, and the stock was trading nearly 7% lower ahead of the opening bell. Traders are shifting focus to today’s earnings due from GameStop (GME) before tomorrow’s inflation data drops.  

Strategy: (45DTE, ATM) 

Strikes 

POP 

Max Profit 

Max Loss 

Iron Condor  

Long 5150 p 

Short 5200 p 

Short 5825 c 

Long 5875 c 

60% 

+625 

-1875 

Short Strangle 

Short 5200 p 

Short 5825 c 

66% 

+2787.50 

Short Put Vertical 

Long 5150 p 

Short 5200 p 

86% 

+275 

-2225 

/ESU4

Symbol: Bonds 

Daily Change 

/ZTZ4 

+0.02% 

/ZFZ4 

+0.05% 

/ZNZ4 

+0.04% 

/ZBZ4 

0% 

/UBZ4 

-0.07% 

The long-end of the Treasury curve is nearly unchanged this morning, with the 30-year T-bond futures contract (/ZBZ4) between trading flat and slightly down this morning. The Treasury is scheduled to auction off three -year notes today. Tomorrow could be a bigger day for bonds, with the U.S. inflation report due and a 10-year auction reopening. The underlying yield for the 30-year bond is trading near the lowest levels since December, near 4%.  

Strategy (45DTE, ATM) 

Strikes 

POP 

Max Profit 

Max Loss 

Iron Condor  

Long 120 p 

Short 122 p 

Short 130 c 

Long 132 c 

60% 

+578.13 

-1421.88 

Short Strangle 

Short 122 p 

Short 130 c 

66% 

+1250 

Short Put Vertical 

Long 120 p 

Short 122 p 

84% 

+281.25 

-1718.75 

/ZBZ4

Symbol: Metals 

Daily Change 

/GCZ4 

+0.39% 

/SIZ4 

+0.62% 

/HGZ4 

-0.54% 

Gold prices (/GCZ4) drifted higher this morning, maintaining momentum from overnight as U.S. yields moderated. The focus is on tomorrow’s inflation report, which will inform rate traders on the path of the Federal Reserve. Anything except a large surprise to the upside should help to support gold prices, although short-term bounces in the dollar could provide opportunities for downside moves.  

Strategy (48DTE, ATM) 

Strikes 

POP 

Max Profit 

Max Loss 

Iron Condor  

Long 2410 p 

Short 2425 p 

Short 2665 c 

Long 2680 c 

61% 

+480 

-1020 

Short Strangle 

Short 2425 p 

Short 2665 c 

69% 

+2880 

Short Put Vertical 

Long 2410 p 

Short 2425 p 

83% 

+250 

-1250 

/GCZ4

Symbol: Energy 

Daily Change 

/CLZ4 

-0.57% 

/HOZ4 

-0.46% 

/NGZ4 

+3.46% 

/RBZ4 

-0.06% 

Crude oil prices (/CLV4) are trading nearly flat, although traders did trim some overnight weakness that came amid mixed Asian stock trading. The Organization of the Petroleum Exporting Countries (OPEC) lowered its oil demand growth forecast for this year, dropping it to 2.03 million barrels per day (bpd) from 2.11 million bpd. Meanwhile, Tropical Storm Francine is expected to strengthen into a hurricane soon as it moves across the Gulf. The Coast Guard has ordered some ports closed, although Corpus Christi, Texas, remains open.  

Strategy (66DTE, ATM) 

Strikes 

POP 

Max Profit 

Max Loss 

Iron Condor  

Long 58.5 p 

Short 60 p 

Short 78.5 c 

Long 80 c 

62% 

+410 

-1090 

Short Strangle 

Short 60 p 

Short 78.5 c 

70% 

+1930 

Short Put Vertical 

Long 58.5 p 

Short 60 p 

77% 

+280 

-1220 

/CLV4

Symbol: FX 

Daily Change 

/6AU4 

+0.09% 

/6BU4 

-0.04% 

/6CU4 

-0.09% 

/6EU4 

-0.09% 

/6JU4 

-0.08% 

Euro futures (/6EU4) continued to move lower ahead of this week’s rate decision from the European Central Bank (ECB). Traders see the ECB cutting this week, but it could also offer an accelerated outlook for more rate cuts, which would weigh on the currency’s outlook. Tonight’s U.S. presidential debate could foreshadow the political risk around the dollar and how it could potentially affect the euro later this year during election season. At the same time, political risks in Europe continue to keep traders on edge.  

Strategy (59DTE, ATM) 

Strikes 

POP 

Max Profit 

Max Loss 

Iron Condor  

Long 1.07 p 

Short 1.08 p 

Short 1.13 c 

Long 1.14 c 

60% 

+337.50 

-912.50 

Short Strangle 

Short 1.08 p 

Short 1.13 c 

66% 

+775 

Short Put Vertical 

Long 1.07 p 

Short 1.08 p 

90% 

+150 

-1100 

/6EU4

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 Westwatera tastylive financial writer and analyst, has eight years of markets and trading experience. @fxwestwater

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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