EUR Vol: Still bid but stabilisation eyed

Still bid but stabilisation eyed
Euro yields have recovered much of yesterday’s risk-off move with the 10y Bund yield last +18bps at 2.45% and now only around 20bps lower than a week ago. Risk assets have rebounded with the Euro Stoxx gaining almost +2% today while the the Euro Stoxx Banks Index is up by +3%.  

Despite the improving risk sentiment euro vols have stayed bid, “The high delivered and uncertainty is still making people cautious about moving their offers,” said one euro vol trader.

The upper left corner was today’s biggest winner with 1m2y up another 20 normals at 165nvol and about 50 normals higher than Friday’s open. Still, the same piece remains below the 2022 highs when the ECB held an emergency policy meeting to ward off fragmentation fears and the market peaked above 200 annualised back in June 2022.

“If we get a couple of days where we stabilise then things should move lower… But things just take that bit longer to reprice than they used to,” said one dealer.

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.