EUR Vol: Consolidation continues; US data eyed

Grid surface volatility 30 Jan 2023
The consolidation in euro vol continued, while some see focus switching to US data and the top right in the near-term.

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  • Consolidation continues; US data eyed 
  • New structured issues

    Consolidation continues; US data eyed
    Euro vol has continued to consolidate with the left hand side steadying during the past few sessions. For instance, EUR 1y1y has been gravitating around the 120nvol level having peaked above 145nvol during mid-March.

    “The near-term drivers, such as US data are most likely to move gamma,” said one trader, suggesting there was less scope for the top left to move around, "People are expecting the left side to become less of a driver," he added. 

    Meanwhile, top right gamma declined today with 3m10y down 4 normals at 108.0. In the underlying, the Bund sold off over a point and the 10y yield increased by 12.5bps to 2.31% in a move that swap traders attributed to a catch up with Friday’s UST market.

    Elsewhere, vega edged slightly lower with 10y10y last -0.3 at at 76.5nvol. "It's been pretty rangebound the past few sessions," one trader observed.   

    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

  • BNP Paribas issued €10m 20y NC10 callable due Apr 2042. Coupon pays 4.5% with single call in Apr 2032. Self-led.

  • Morgan Stanley issued €20m CMS-linked note due Mar 2035. Coupon pays EUR 20y +100bps capped at 6.25% and floored at 4.04%. Self-led.