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S&P 500 Bounces and Yields Rise After Jobless Claims

By:Christopher Vecchio - CFA

Also, 10-year T-note, silver, natural gas and Australian dollar futures


E-mini S&P 500, 10-year T-note, silver, natural gas, Australian dollar futures
E-mini S&P 500, 10-year T-note, silver, natural gas, Australian dollar futures


  1. S&P 500 E-mini futures (/ES): +0.82% 

  2. 10-year T-note futures (/ZN): -0.17% 

  3. Silver futures (/SI): +0.36% 

  4. Natural gas futures (/NG): -2.04% 

  5. Australian dollar futures (/6A): +0.53% 

Symbol: Equities 

Daily Change 

/ESU4 

+0.82% 

/NQU4 

+1.16% 

/RTYU4 

+1.06% 

/YMU4 

+0.43% 


 

S&P 500 contracts (/ESU4) got a lift following this morning’s jobs data that showed fewer initial jobless claims than the week before, easing concerns about a possible recession. The market is focused on the soft-landing narrative. Economic indicators that point to a recession are causing risk-off moves, and signs of economic strength are doing just the opposite. Eli Lilly (LLY) rose over 12% in pre-market trading after posting strong results and guidance.  

 


Strategy: (39DTE, ATM) 

Strikes 

POP 

Max Profit 

Max Loss 

Iron Condor  

Long 4800 p 

Short 4850 p 

Short 5700 c 

Long 5750 c 

67% 

+360 

-2140 

Short Strangle 

Short 4850 p 

Short 5700 c 

72% 

+2475 

Short Put Vertical 

Long 4800 p 

Short 4850 p 

85% 

+250 

-2225 


 

S&P 500 contracts (/ESU4)

 

 


Symbol: Bonds 

Daily Change 

/ZTU4 

-0.1% 

/ZFU4 

-0.16% 

/ZNU4 

-0.17% 

/ZBU4 

-0.28% 

/UBU4 

-0.38% 


 

Treasury yields rose across the curve this morning, but the short end accelerated higher as economic concerns eased on U.S. jobs data. The Treasury market saw a weak auction for 10-year notes yesterday, which wasn’t surprising given that the yield was below 4%. A 30-year bond auction is on tap this afternoon, along with several Federal Reserve speakers, both of which could influence bonds.  

 


Strategy (43DTE, ATM) 

Strikes 

POP 

Max Profit 

Max Loss 

Iron Condor  

Long 109 p 

Short 109.5 p 

Short 115.5 c 

Long 116 c 

66% 

+109.38 

-390.63 

Short Strangle 

Short 109.5 p 

Short 115.5 c 

71% 

+500 

Short Put Vertical 

Long 109 p 

Short 109.5 p 

93% 

+31.25 

-468.75 


 

Treasury yields

 

 


Symbol: Metals 

Daily Change 

/GCZ4 

+0.3% 

/SIU4 

+0.36% 

/HGU4 

-0.51% 


 

Silver (/SIU4) managed to hold above the May swing low, as prices rose this morning. The metal is down over 15% from its July highs after recession risks pushed traders out of any assets they saw at risk of an economic slowdown. Gold has held up slightly better recently, pushing the gold-silver ratio to the highest levels since April. That could mean silver is cheap relative to gold, and traders sometimes buy silver while selling gold to take advantage of the mean-reverting tendency of the ratio.  

 


Strategy (48DTE, ATM) 

Strikes 

POP 

Max Profit 

Max Loss 

Iron Condor  

Long 23.5 p 

Short 24 p 

Short 30.5 c 

Long 31 c 

68% 

+510 

-1990 

Short Strangle 

Short 24 p 

Short 30.5 c 

74% 

+2760 

Short Put Vertical 

Long 23.5 p 

Short 24 p 

88% 

+190 

-2310 


 

Silver (/SIU4)

 

 


Symbol: Energy 

Daily Change 

/CLU4 

+0.16% 

/HOU4 

-0.39% 

/NGU4 

-2.04% 

/RBU4 

+0.63% 


 

Natural gas prices (/NGU4) fell today after prices rallied over 11% over the past two trading days. A deep contango continues in the futures structure, with prices sharply higher for the winter months. Several producers have deferred production amid low prices but so far haven’t made notable cuts. The chance of producers cutting becomes smaller as we get closer to the winter, and with inventory levels elevated, it could cause traders to sell the spikes in natural gas. The Energy Information Administration (EIA) will report storage data for natural gas today.  

 


Strategy (48DTE, ATM) 

Strikes 

POP 

Max Profit 

Max Loss 

Iron Condor  

Long 1.5 p 

Short 1.6 p 

Short 2.6 c 

Long 2.7 c 

67% 

+290 

-710 

Short Strangle 

Short 1.6 p 

Short 2.6 c 

75% 

+1130 

Short Put Vertical 

Long 1.5 p 

Short 1.6 p 

81% 

+110 

-890 


 

Natural gas prices (/NGU4)

 

 


Symbol: FX 

Daily Change 

/6AU4 

+0.53% 

/6BU4 

+0.04% 

/6CU4 

-0.05% 

/6EU4 

-0.17% 

/6JU4 

-0.12% 


 

The Australian Dollar (/6AU4) rose after Michele Bullock said that the Reserve Bank of Australia (RBA) is willing to raise rates if it must amid stubbornly high inflation.   

 


Strategy (45DTE, ATM) 

Strikes 

POP 

Max Profit 

Max Loss 

Iron Condor  

Long 0.625 p 

Short 0.63 p 

Short 0.68 c 

Long 0.685 c 

64% 

+140 

-360 

Short Strangle 

Short 0.63 p 

Short 0.68 c 

70% 

+510 

Short Put Vertical 

Long 0.625 p 

Short 0.63 p 

88% 

+60 

-440 


080824_Five Futures_6A (1).png


 


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 andLet 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

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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