S&P 500, 2-year T-Note, Silver, Natural Gas, and Euro Futures
S&P 500, 2-year T-Note, Silver, Natural Gas, and Euro Futures
This Morning’s Five Futures in Focus
- S&P 500 E-mini futures (/ES): -0.07%
- Two-year T-note futures (/ZT): -0.07%
- Silver futures (/SI): +0.15%
- Natural gas futures (/NG): -0.11%
- Euro futures (/6E): -0.03%
Now on the other side of the September, triple witching, global markets are off to a slow start on Monday. Mixed performances in U.S. equity market futures are contextualized by the ongoing bleeding in bonds. Absent any meaningful earnings releases or U.S. economic reports, attention remains on Detroit (UAW strike) and Washington, D.C. (government shutdown).
Symbol: Equities | Daily Change |
/ESZ3 | -0.07% |
/NQZ3 | -0.18% |
/RTYZ3 | +0.18% |
/YMZ3 | +0.01% |
The four U.S. equity index futures are trading sideways ahead of the cash equity open, as we enter the calm before the storm that could be the September FOMC meeting in just over 48 hours. No additional rate hikes are currently discounted by markets through the end of the year. Indeed, the final hike may have been levied in July. In terms of impact, options are pricing in less than a +/-1% move through the close on Wednesday for the S&P 500 (/ESZ3), and just over a +/-1% move in the Nasdaq 100 (/NQZ3) and the Russell 2000 (/RTYZ3).
Strategy: (43DTE, ATM) | Strikes | POP | Max Profit | Max Loss |
Iron Condor | Long 4450 p Short 4460 p Short 4530 c Long 4540 c | 16% | +412.50 | -87.50 |
Long Strangle | Long 4450 p Long 4540 c | 49% | x | -5450 |
Short Put Vertical | Long 4450 p Short 4460 p | 61% | +162.50 | -330 |
Symbol: Bonds | Daily Change |
/ZTZ3 | -0.07% |
/ZFZ3 | -0.13% |
/ZNZ3 | -0.14% |
/ZBZ3 | -0.13% |
/UBZ3 | -0.12% |
What has become a familiar refrain in recent days, bonds are down across the curve. A bad print in the two-year note (/ZTZ3) may have spooked traders at the start of the week—the two-year note yield shows a false print at 5.491% (be it due to a fat finger or a sell order pushed through during illiquid hours). Regardless, U.S. Treasury yields are hovering near their cycle highs, which have proved to be problematic for many other corners of the market in recent months.
Strategy (39DTE, ATM) | Strikes | POP | Max Profit | Max Loss |
Iron Condor | Long 101 p Short 101.125 p Short 101.875 c Long 102 c | 36% | +125 | -125 |
Long Strangle | Long 101 p Long 102 c | 46% | x | -390.63 |
Short Put Vertical | Long 101 p Short 101.125 p | 91% | +78.13 | -171.88 |
Symbol: Metals | Daily Change |
/GCZ3 | +0.03% |
/SIZ3 | -0.15% |
/HGZ3 | -0.21% |
After surging on Friday, silver (/SIZ3) is treading water as investors await the Federal Reserve’s policy decision. Markets are concerned that rising oil prices may spoil some of the progress made on inflation and reignite rate hike bets, which would dent the appeal of precious metals by pushing yields higher. The Bank of England and the Bank of Japan will hold policy meetings later this week. These events could inject more volatility into the market.
Strategy (38DTE, ATM) | Strikes | POP | Max Profit | Max Loss |
Iron Condor | Long 22.85 p Short 22.9 p Short 23.8 c Long 23.85 c | 21% | +185 | -65 |
Long Strangle | Long 22.85 p Long 23.85c | 44% | x | -4,465 |
Short Put Vertical | Long 22.85 p Short 22.9 p | 61% | +105 | -145 |
Symbol: Energy | Daily Change |
/CLZ3 | +1.26% |
/NGZ3 | -0.11% |
Natural gas prices (/NGV3) softened Monday morning after Chevron (CVX) announced a return to full production at its Wheatstone liquified natural gas (LNG) facility. That Western Australian site is one of two where workers are taking industrial action in the form of a limited strike. However, workers are expected to soon intensify their efforts with full-day stoppages, which could impact output. That could make for volatile trading conditions this week.
Strategy (38DTE, ATM) | Strikes | POP | Max Profit | Max Loss |
Iron Condor | Long 2.48 p Short 2.5 p Short 2.77 c Long 2.8 c | 43% | +130 | -170 |
Long Strangle | Long 2.48 p Long 2.8 c | 36% | x | -770 |
Short Put Vertical | Long 2.5 p Short 2.55 p | 65% | +170 | -330 |
Symbol: FX | Daily Change |
/6AZ3 | -0.03% |
/6BZ3 | 0.00% |
/6CZ3 | +0.11% |
/6EZ3 | -0.03% |
/6JZ3 | +0.10% |
FX markets are mixed on Monday, with the U.S. dollar retreating modestly at the start of the week. The macro calendar is supersaturated in the second half of the week, when we’ll hear from the Federal Reserve, Bank of England, and Bank of Japan. The prospect of a widening near-term gap between the Fed and the other central banks persists, helping support a U.S. dollar that is trading near multi-month highs.
Strategy (18DTE, ATM) | Strikes | POP | Max Profit | Max Loss |
Iron Condor | Long 1.06 p Short 1.0650 p Short 1.0850 c Long 1.09 c | 55% | +287.50 | -337.50 |
Long Strangle | Long 1.06 p Long 1.09 c | 25% | x | -462.50 |
Short Put Vertical | Long 1.06 p Short 1.0650 p | 72% | +200 | -425 |
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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