EUR Vol: Low delivered weighs on market

Down candle chart 26 May 2022
Low delivered weighed on the euro market today as implieds finished softer.

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  • Low delivered weighs on market 
  • New structured issues

    Low delivered weighs on market
    Euro implieds moved lower across the grid today after the flash euro inflation data failed to provide any shocks. In the underlying, the Bund future is closing the session near unchanged while underperforming USTs and gilts ahead of the FOMC, ECB and BOE meetings.


    The top left led today’s retreat with 6m2y down by 4.4 normals at 93.9 and nearing the January lows made a couple of weeks ago. In the background, red Euribors are closing the session 0.5bp to 3bps lower and have underperformed Eurodollars.


    "The lower delivered certainty appears to be weighing on the market," said one trader earlier. As for the ECB meeting tomorrow, he added that, "Anecdotally there was a bit more selling of the top left last week." Meanwhile, note that USD vol traders also report short positioning going into the FOMC tonight, see USD Vol: Shorts look for a big payday

    Elsewhere, top right gamma is closing up to 2.5 normals lower. For instance, 6m10y is down 1.9 normal at 102.0. Further out, vega has also softened with the bottom right losing around 1.5 normals. 


    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

  • RBC issued €36m 15y NC3 zero-coupon callable due Feb 2038. Annual calls from Feb 2026 and estimated IRR of 4.64%. Self-led.