EUR Vol: Implieds continue drift lower

Bond chart 30 Jan 2023
Euro implieds continued to drift lower with 1m expiries leading the decline.

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  • Implieds continue to drift lower
  • Stay short 2y10y via payers - JP Morgan.
  • New structured issues

    Implieds continue to drift lower
    Implieds are lower across the board as the euro vol market shrugs off the impact of Canadian and Aussie rate hikes this week.

    The 1m expiries have seen the biggest decline with a drop of around 2 normals. Further out, 3m expiries have lost around 0.5 to 0.8 normals with 3m10y last down by -0.6 at 93.5novl and nearing the previous 2023 lows from mid-May.

    Vega was unchanged or slightly higher after some pieces faced selling pressure earlier in the week. For instance, 10y10y was last marked +0.2 at 75nvol.

    In the background, issuance was subdued amid regional holidays across Germany and the Bund was last up 25 ticks.


    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.


    Stay short 2y10y via payers - JP Morgan 

    Strategists at JP Morgan hold a short 2y10y position via OTM payers. The bank explains:

      “At the long-end of the curve, we keep our shorts in 2y10y via OTM payers. Implieds volatilities for fixed strike/fixed date has increased by around 0.1bp/day but we see room for a decline in implieds over the coming days. The trade is marginally under on a small increase in implieds and delivered volatility being at par with ex-ante implied volatility.”


    New structured issues

  • Morgan Stanley issued €15m 20y NC7 callable due Jun 2043. Coupon pays 4.6% with single call in Jun 2030. Self-led.

  • Nordic Investments Bank issued €20m 10y NC3 callable due Jun 2033. Coupon pays 3.73% with single call in Jun 2026. Self-led.

  • SPIRE issued €12.253m CMS-linked EMTN due Jun 2031. Coupon pays EUR 1y CMS +67bps. Led by BNP Paribas.