EUR Vol: 1m edges lower; Top left lingers at highs

Computer lines code 30 Jan 2023
Euro vols were broadly lower as the Bund traded within the range of the past few sessions.

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  • 1m edges lower; Top left lingers at highs 
  • New structured issues

    1m edges lower; Top left lingers at highs
    Euro vols are broadly lower as the Bund future traded within the range of the past few sessions and finished the day around 50 ticks higher with the 10y yield marked down by -5bps at 2.64%. “There’s no overarching theme for today,” felt one euro dealer.

    The 1m expiries continued yesterday’s decline and lost a further 1 to 2.5 normals today, leaving 1m10y marked around 112.2 and towards the lower end of this month’s range.

    By contrast, 1y expiries held up better and finished the session a touch higher. For instance, 1y1y is closing up 0.1 at 111.0 normals after peaking around 113.0 intraday on the screens to mark a new 2023 high.

    Ahead, one trader felt the left-hand side could stay around elevated levels, “There’s been uncertainty about terminal rates in Europe for a while and now the US is also adding to that uncertainty,” he said. Yesterday Fed Chair Powell said he was prepared to increase the pace of rate hikes, while speaking today he added that no decision had been made about the March meeting.

    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

  • Rentenbank issued €40m 6y NC3 callable due Mar 2029. Coupon pays 3.5% with single call in Mar 2026. Led by DZ Bank.