EUR Vol: Short expiries bounce from lows

Grid surface volatility 30 Jan 2023
Shorter-dated expiries bounces from recent lows.

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  • Short expiries bounce from lows 
  • New structured issues

    Short expiries bounce from lows
    Bunds traded most of the session lower before rallying during the afternoon session alongside US Treasuries, following weaker than forecast US jobs and factory data. The 10y Bund future was last up around 60 ticks while the 10y yield has lost 5.5bps to 2.255%.

    Euro implieds were mixed today with 1m expiries outperforming with gains of 1.5 to 3.75 normals after picking up a couple of business days following the long May holiday weekend. Leading the move was 1m10y, last up 3.8 at 103.7nvol and bouncing off the 2023 lows having tested the sub-100 level late last week.

    Longer-dated expiries headed lower across the grid with 1y1y down by -1.9 to 125.7nvol while 1y10y fell by -1.3 to 104.2nvol. “There’s a bit of risk premium back in the market with USTs rallying this afternoon, but we are not really seeing that reflected in the vol market yet,” said 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 

    For a summary of recent structured issuance, see EUR MTNs