EUR Vol: Pop higher amid halt in Bund trading

Pop higher amid halt in Bund trading
Euro implieds popped higher amid a sharp rate sell-off that briefly saw Eurex halt trading in the 10y Bund future after stronger-than-consensus US data triggered a renewed push lower. The future was last down by 1.7 points while the 10y yield has soared by 15bps to 2.62%.

Euro implieds gained up to 10 normals, led by the upper left corner with 2m2y up 10.1 at 119.2 and testing the late-May/early June highs. In the short-end of the curve, red Euribors have sold off up to 18bps.

Elsewhere, top right gamma saw similar gains with 3m10y up 8.6 at 101.9 and 1y10y up 5.2 at 102.8.

“It’s the pace of this sell-off that has scared people. Everyone pulled their offers on the screen and people are scrambling around with their delta. It seems the summer market was long and that has exacerbated the sell-off in the underlying that we are seeing,” reported one trader earlier.

As for positioning in euro vol markets,”I think a few clients had bought protection knowing that summer can often see outsized moves,” he said.

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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