More selling pressure; Skew interest
Euro gamma faced more selling pressure today, cementing the downward trend of the past few sessions as risk sentiment improved and stocks rallied.
The top left continued to lead the decline, “It was still quite high and makes sense it has become better offered again. Clients seem less worried about getting protection against the short-end,” felt one trader.
The ULC is closing the session 10 to 15 normals lower. For example, 3m2y is down 10.4 at 150.5 and has lost 30 normals since the start of this week.
With the market stabilising plus price discovery around month-end some report more interest in skew, “We should be seeing a few more intermediate risk reversals going through along with the longer dated and short dated skew,” a trader said.
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