EUR Vol: Gamma back below pre-SVB levels

Down chart candlestick 11 Jun 2020
Euro implieds declined with some gamma pieces falling back below pre-SVB levels.

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  • Gamma below pre-SVB levels
  • New structured issues


    Gamma below pre-SVB levels
    Euro implieds are finishing the day lower despite volatility in the underlying surrounding the US CPI prints. Global fixed income initially spiked higher after the US data but the bids were quick to fade and the 10y yield is closing 5.5bps higher at 2.365% following a 15bps intra-day range.

    Gamma in the top right has finished the session 3 to 6 normals lower. The move was led by 1m10y, down 6 normals at 104.8, with the latest losses taking the market below the pre-SVB levels from mid-March and just 3-4 normals away from the 2023 lows.

    “Credit concerns continue to fade, accounts are looking to put their money to work once again and for some funds that means unwinding long vol positions,” reported one trader.

    Elsewhere, the upper left declined by 2 to 4.5 normals as Euribors sold off by 7-10bps and the market fully priced an ECB peak of 3.75% for the first time since the recent credit crisis. In vol, 1y1y is marked 2 normals lower at 117.9, but remains some 35 normals higher than the 2023 lows. "There's probably some residual credit uncertainty," suggested one trader. 

    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

  • Bank of Nova Scotia issued €10m 15y NC10 due Apr 2038. Coupon pays 4.5% with call in Apr 2033. Puttable in Oct 2023. Self-led.

  • Helaba issued EUR 5y NC1 callable due May 2028. Coupon pays 3.1% with annual calls from May 2024. Self-led.