EUR Vol: Offered again as ULC leads

Down chart candlestick 11 Jun 2020
Euro implieds were offered again with the ULC leading the move.

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  • Offered again as ULC leads
  • New structured issues


    Offered again as ULC leads
    Euro implieds have resumed their downward descent with the top left once again leading the way. In the background, the Bund future is closing the session near unchanged after failing to break lower with the 10y yield marked around 2.37%.

    The very upper left corner is down as much as 7-8 normals while 1m2y, the highest point of the grid, was last down by 8.3 at 132.4. In the underlying, Euribors have rallied by 2-4bps amid conflicting ECB reports about whether a 25bp or 50bp hike is most likely at the May meeting, see here


    Looking ahead, one trader reckoned there is scope for the top left to decline further, "It is still quite high compared to before the credit crunch, personally I think it is only a matter of time before it becomes better offered again," adding that some are switching their focus to top right gamma for protection where needed. 

    Elsewhere, top right gamma lagged behind during today’s move although most pieces still managed to drop 1-2 normals. Towards the close of session 3m10y was marked down by 1.5 at 103.0 and nearing the 2023 lows around 100 normals.

    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

  • World Bank issued €10m 15y NC2 callable due Apr 2038. Coupon pays 3.65% with single call in Apr 2025. Led by Commerzbank.