EUR Vol: Offered again but dealers lend support

Chart lines Oct 2022
Euro vols were offered again although rivals suggest some dealers were lending support into the close.

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  • Offered again but dealers lend support 
  • New structured issues

    Offered again but dealers lend support
    Euro vols stayed offered for most of the session with the right-hand side leading the move for a second day. In the underlying, global rates rallied and saw the Bund future gain 1.5 points while the 10y yield declined by 10bps to 2.20%.

    Implied vols in the top right were down as much as 5 normals intra-day, before most pieces saw a slight bounce into the close. “Dealers that were left long from fast money accounts are probably keen to bid it up a bit into the close,” argued one rival dealer.

    Elsewhere, the top left nudged lower with 1y1y marked down 0.9 at 98.1nvol. “The selling momentum appears to have run out of steam,” felt one trader. He added that interest for receivers could also be creeping into the market.

    Ahead, he argued there was still some scope for vols to fall farther, “With the peak of the hiking cycle in sight, there is an argument that vols can come lower still when you look at implied from a historical context,” he reckoned. That said, some dollar traders are eyeing support to come into their market which could ripple across into euro vol, see USD Vol

    For euro option trades on the SDR see here and for volumes please see here.


    New structured issues

  • UBS issued €42m 20y NC10 callable due Jan 2043. Coupon pays 4.85% with single call in Jan 2033. Self-led.

  • Deutsche Bank issued €3.5m 21y NC10 SNP callable due Jan 2044. Coupon pays 5.41% with calls in Jan 2033 and Jan 2043. Self-led.