EUR Vol: Retreat as banking fears brushed aside

Down chart candlestick 11 Jun 2020
The rate sell-off and stable credit backdrop helped to push implieds lower.

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  • Retreat as banking fears brushed aside
  • New structured issues

    Retreat as banking fears brushed aside
    Bunds have sold off alongside US Treasuries as focus appeared to shift away from banking fears while US data printed stronger than expected with PCE above consensus. The 10y yield was last up 6bps at 2.46% while the Euro Stoxx finished 0.24% higher.

    In euro vol, the rate sell-off and stable credit backdrop helped to push euro implieds lower and reverse some of this week’s gains.

    In the top left, 1y1y was down by -3.9 at 126.2nvol but remains about 10 normals higher than a week ago. Gamma across the top right is down by a similar amount with 3m10y falling by -3.6 to 102.6nvol and just a few normals away from the 2023 lows.

    Meanwhile, the biggest decline came in 1m expiries with a fall of 5-6.5 normals. The retreat in near-dated expiries occurred despite event risks from upcoming HICP prints as well as next week’s ECB meeting where most market participants are leaning towards a 25bp hike.


    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 

    For a summary of recent euro structured issuance, please see EUR MTNs