It was great to get away for a couple weeks, but I'm excited to be back in the saddle.
August 19/20th (when I left) v. now:
- ESU13: 1645 - currently 1646 (Highs around 1667 and lows around 1625).
- NQU13: 3070 - currently 3110 (Highs around 3150 and lows around 3050) Protection (implied vol and put skew remains bid going into Syria "resolution", Congress return, FOMC, German elections, etc.
- Gold: 1365 - currently 1388 (Highs around 1423).
- Silver: 23.20 - currently 23.45 (Highs around 25.15) Implied vols are relatively high (particularly in Silver) going into FOMC, etc. I would consider being short month 1 delta neutral premium.
- Crude (WTI): 106.80 - currently 107.20 (Highs around 112.25). Term structure is VERY STEEP ("War" premium).
- Brent Crude: 110 - currently 114.75. (Highs around 117.25). Brent continues to outperform WTI. Spread moved from EVEN money out to $7.00 wide in about five weeks.
- Natural Gas: 3.50 - 3.65. Continues to grind higher. Looks like we made 2013 lows on August 8 - KEY REVERSAL DAY - but I would EXIT long deltas in this area as "summer" comes to a close.
- Gasoline: 2.81 - currently 2.85. (Highs around 2.98). Unable to break through 3.00 level on Syria. Hopefully those highs hold. 10-year yield: 2.88% - currently 2.85%. Little changed. Watch Non Farm Payroll data on Friday.
- Selling front month Silver premium (44% implied vols) going into Jobs data and FOMC.
- The Gold Silver ratio has fallen from 67:1 to 58:1 in the past five weeks. Platinum v. Gold spread has moved from PL +195 to +110 in the past 3 1/2 weeks.
- The Gasoline Crack (October) spread fell to nearly 11 in October (which appears to be support). Lower than it's been in a LONG time.
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