EUR Vol: Thin trading; Vega edges higher

Grid surface volatility 30 Jan 2023
Activity in the euro vol market was thin ahead of the US holiday this week.

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  • Thin trading amid holiday week 
  • New structured issues

    Thin trading amid holiday week
    Activity in the euro vol market was described as “a bit of a snooze” by one market participant with volumes reportedly thinning out around the US holiday tomorrow.

    In the underlying, the Bund future treaded water at the start of the session before selling off during the afternoon and finishing the day around 50 ticks lower with the 10y yield marked around 2.4375% (+4.5bps).

    Elsewhere, vega firmed up a touch with gains of 0.1 to 0.3nvol across the mid-left and bottom right of the grid. “It’s true that seasonally callable supply typically slows,” noted one trader, when asked if supply dynamics could play a factor over the next few weeks.

    Euro implieds finished the session broadly lower with 2m and 3m gamma losing up to 1.5 normals. By contrast, 1m expiries firmed up a touch after picking up a couple of business days over the weekend.

    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, please see EUR MTNs: SPIRE deals; Goldman floaters