EUR Vol: High realised lends support

Chart numbers candles 14 Jun 2022
Higher realised gave support to gamma with the top right leading gains.

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  • High realised lends support 
  • New structured issues

    High realised lends support
    Euro implieds finished mixed today with top right gamma finding support as the Bund future sold off over a point and the 10y yield increased by +11bps to 2.44%.

    Sources struggled to explain the extent of today’s sell-off amid the Ascension Day holiday across much of Europe. Some blamed a mixture of ECB speak, catch-up with debt limit news and maybe position resets, see Bunds pressured; Panicky ECB paying

    “Most likely it’s some hedge funds trying taking advantage of illiquidity (during the Ascension holiday) and pushing the market about,” added one euro vol trader.

    Leading the move higher in implieds today was 30y gamma with 1m30y up +5.4 at 80.3 and recouping the decline from the previous two sessions.

    Other parts of the grid found some support, such as 1y1y up +0.9 at 112.9. Note that yesterday some suggested the top left could see a slight bounce after a recent sharp decline.

    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

  • DZ Bank issued EUR CMS-linked EMTN due May 2036. Coupon pays 1.302 * EUR 10y CMS floored at zero. Self-led.

  • EIB issued €200m (max) inflation-linked note due May 2034 with coupon and redemption linked to euro HICPx. Led by JP Morgan.