EUR Vol: Higher but pace slows; Vega lags
Higher but pace slows; Vega lags
Euro implieds continued to move higher led by the upper left corner, but the pace was slower than recent sessions with gains of up to 2.5 normals.
In the background, European markets traded cautiously with the Euro Stoxx finishing -0.75% while the Bund future pared earlier gains and was last down 20 ticks. In the US, First Republic lost another 20% although the S&P has so far managed to edge higher.
“So far its felt pretty contained. US stocks are holding up OK. Plus we haven’t had another Credit Suisse coming out of the woodwork yet,” said one euro trader. As a result, pieces such as 1y1y only managed to firm up by another 2 normals to 130nvol today and has now retraced around half of the March credit surge when the 1y1y market peaked around 145nvol.
Elsewhere, vega moved in the opposite direction and declined by -0.2 to as much as -0.7nvol in the bottom right. “It moves on flow and dealers pushing the screen,” said one trader. At the same time, he noted a few more longer-dated calalbles had been printing.
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.
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