EUR Vol: High realised lends support
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.
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