Russell 2000, 10-year T-Note, Silver, Crude Oil, and Canadian Dollar Futures
Russell 2000, 10-year T-Note, Silver, Crude Oil, and Canadian Dollar Futures
This Morning’s Five Futures in Focus
- Russell 2000 E-mini Futures (/RTY): +0.78%
- 10-Year T-Note Futures (/ZN): +43%
- Silver Futures (/SI): +3.49%
- Crude Oil Futures (/CL): +1.67%
- Canadian Dollar Futures (/6C): +0.55%
The end of the month and the third quarter have arrived, and the turn of the calendar could not be more welcomed by markets. A rough September—in line with seasonal tendencies, at least for stocks—is ending on a more positive, note however. All four U.S. equity index futures are rallying ahead of the cash open, while bonds are up across the curve led by the long-end. Precious metals are bouncing, while the U.S. Dollar is giving back some of its impressive gains (though remains on track to close higher for 11 consecutive weeks).
Symbol: Equities | Daily Change |
/ESZ3 | +0.69% |
/NQZ3 | +0.96% |
/RTYZ3 | +0.78% |
/YMZ3 | +0.60% |
Have we reached the low in stocks? According to the return profile of the S&P 500 (/ESZ3) during periods of excessive bearish sentiment, the answer may be yes. With the rally from support yesterday and continuation today, the pot odds are shifting in favor of treating this week’s low as a tradeable low, perhaps for the rest of the year. Meanwhile, the two markets hit hardest by the turn higher in rates, the Nasdaq 100 (/NQZ3) and the Russell 2000 (/RTYZ3), are leading the way higher out of the gates on Friday.
Strategy: (49DTE, ATM) | Strikes | POP | Max Profit | Max Loss |
Iron Condor | Long 1725 p Short 1750 p Short 1900 c Long 1925 c | 42% | +550 | -700 |
Long Strangle | Long 1725 p Long 1925 c | 40% | x | -1545 |
Short Put Vertical | Long 1725 p Short 1750 p | 71% | +270 | -980 |
Symbol: Bonds | Daily Change |
/ZTZ3 | +0.10% |
/ZFZ3 | +0.30% |
/ZNZ3 | +0.43% |
/ZBZ3 | +0.69% |
/UBZ3 | +0.77% |
The adjustment period to the Fed’s two fewer rate cuts in 2024 and a higher long-term Fed funds rate may be complete. The long-end remains the focal point for bond traders, with 30s (/ZBZ3) and ultras (/UBZ3) proving to be the biggest movers again (as they have for the past week, leading both lower and higher). The 2s10s spread is flattening again, back to -51-bps.
Strategy (56DTE, ATM) | Strikes | POP | Max Profit | Max Loss |
Iron Condor | Long 106 p Short 106.5 p Short 110.5 c Long 111 c | 47% | +218.75 | -281.25 |
Long Strangle | Long 106 p Long 111 c | 35% | x | -812.50 |
Short Put Vertical | Long 106 p Short 106.5 p | 79% | +125 | -375 |
Symbol: Metals | Daily Change |
/GCZ3 | +0.61% |
/SIZ3 | +3.49% |
/HGZ3 | +1.48% |
Silver (/SIZ3) is taking advantage of a pullback in the dollar and Treasury yields following U.S. inflation data released this morning. The core personal consumption expenditures price index (PCE) rose only 0.1% in August from a month earlier. That was less than what analysts expected. A likely government shutdown may also be on the cards this weekend, potentially boosting haven demand.
Strategy (59DTE, ATM) | Strikes | POP | Max Profit | Max Loss |
Iron Condor | Long 23 p Short 23.05 p Short 24.15 c Long 24.2 c | 21% | +200 | -50 |
Long Strangle | Long 23 p Long 24.2 c | 42% | x | -5,910 |
Short Put Vertical | Long 23 p Short 23.05 p | 61% | +115 | -150 |
Symbol: Energy | Daily Change |
/CLZ3 | +1.67% |
/NGZ3 | +0.95% |
Crude oil (/CLX3) is benefiting from demand tailwinds as a week-long holiday in China kicks off, a period that traditionally sees increased fuel consumption in the Asian economic engine. Meanwhile, a Reuters poll shows that analysts expect oil prices to remain above $80 per barrel into next year. Russian and Saudi supply cuts will likely keep prices elevated even as economic strength wanes in Europe. U.S. rig count data is in focus for today.
Strategy (47DTE, ATM) | Strikes | POP | Max Profit | Max Loss |
Iron Condor | Long 88 p Short 88.5 p Short 92.5 c Long 93 c | 15% | +410 | -90 |
Long Strangle | Long 88 p Long 93 c | 46% | x | -6040 |
Short Put Vertical | Long 88 p Short 88.5 p | 57% | +210 | -290 |
Symbol: FX | Daily Change |
/6AZ3 | +1.15% |
/6BZ3 | +0.56% |
/6CZ3 | +0.55% |
/6EZ3 | +0.46% |
/6JZ3 | +0.01% |
Canadian dollar futures (/6CZ3) are up about 0.35% this morning despite a weaker-than-expected GDP print for July. A bid in oil, one of Canada’s main exports, and a broadly weaker dollar is helping to lift /6CZ3. Canada is set to release its July budget balance today, although the driving factors for the currency will remain centered on a potential U.S. government shutdown and oil prices.
Strategy (35DTE, ATM) | Strikes | POP | Max Profit | Max Loss |
Iron Condor | Long 0.72 p Short 0.725 p Short 0.765 c Long 0.77 c | 83% | +45 | -455 |
Long Strangle | Long 0.72 p Long 0.77 c | 8% | x | -50 |
Short Put Vertical | Long 0.72 p Short 0.725 p | 96% | +25 | -475 |
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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