EUR Vol: Drifting lower as rates rally

Lower as rates rally
Vol moved lower today in a directional move to the underlying as rates rallied during the afternoon session. The Bund future finished the day around 40 ticks higher while the 10y yield declined by 4bps to 4.275%.

"There's no obvious trigger for the rally other than there doesn't seem to be the momentum there to break the recent highs (in yields)," felt one trader.

In euro vol, top right gamma led the decline and 30y tails saw the biggest fall with 1m30y down by 2.3 normals at 90.8nvol. Other 1m expiries, such as 1m2y, 1m5y and 1m10y finished the session about 1.8 normals lower.

In terms of flow, one trader reported muted interest during the afternoon, “Vols got pushed lower as we rallied, but we did not see big sellers coming in,” he reported.

Vega also finished the session marked lower with 10y10y down 0.7 at 75.2nvol, thus easing back from recent highs having peaked above 76nvol yesterday for the first time in several weeks. 

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

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