EUR Vol: Short expiries continue to drift lower

Grid black white 9 Nov 2020
Short-dated expiries continued to drift lower despite upcoming risk of central bank meetings.

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  • Short expiries continue to drift lower 
  • New structured issues


    Short expiries continue to drift lower
    The same theme from yesterday persisted today with shorter-dated expiries drifting lower while longer-dated expiries continued to find support and nudge higher. In the underlying, global fixed income traded weaker with the Bund future losing around 60 ticks while the 10y Bund yield has increased by 6bps to 2.215%.

    One trader felt the drift lower in short-dated expiries probably made sense despite next week bringing a triple whammy of central bank meetings. “In the near-term it’s hard to see a meaningful move in either direction,” he felt.

    However, he added that some pieces in the top left such as 1y1y could continue to find support given the recent decline in implieds as well as uncertainty over the pace of ECB hikes from March onwards. Note also that yesterday sources suggested the top left could be seeing some accounts playing the range and possibly buying and/or short-covering. Today 1y1y was up 0.7 at 90.7 having dipped down to 88.0 normals last week.

    For euro option trades on the SDR see here and for volumes please see here. Note that the Total Derivatives SDR now shows broker/platform information for each trade, where available. 


    New structured issues

  • Morgan Stanley issued €50m CMS-linked note due Jun 2038. Coupon pays EUR 20y floored at 0% and capped at 6% until Jun 2023. It then pays EUR 20y +0.735% floored at 1.5% and capped at 6%. Self-led.

  • Helaba issued EUR 10y NC7 callable due Mar 2033. Coupon pays 4% with single call in Mar 2030. Self-led.