EUR Vol: More selling pressure; Skew interest

Stock graph
The downward trend in euro vol continued today with the top left leading the decline.

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  • More selling pressure; Skew interest
  • New structured issues

    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. 

    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

  • Deutsche Bank issued EUR 21y NC11 callable due Apr 2044. Coupon pays 5.05% with single call in Apr 2032. Self-led.