EUR Vol: Implieds offered again; 1m bounces off lows
Implieds offered; 1m gains
Euro implieds were offered across most of the grid today as rates rallied earlier in the session before finishing near unchanged. The 10y Bund future was last trading -2 ticks while the 10y Bund yield was marked around 2.3875% (+1bp).
"The resolution of the debt crisis in the US and a move lower in dollar vols that we saw last week have also weighed on euro vols," one trader suggested. Today 1y10y dropped by -0.8nvol to 96.3 normals, just a few shy normals of the 2023 low hit in early February around 93.1nvol.
An exception to today’s decline was in the 1m expiries, nudging higher by 0.5 to 1.3 normals, having picked up a couple of business days over the weekend.
At the same time, this week’s ECB and FOMC meeting present near-term event risks. "Overall, it makes sense for some protection this week, but it's more for the FOMC than ECB meeting," one euro trader reckoned.
For instance, 1m10y today bounced off the 2023 lows reached last Friday and was marked +1.3nvol at 87.3 normals.
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.
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