EUR Vol: Short-dated expiries lead gains

Short-dated expiries lead gains
The start of the week saw short-dated expiries outperform while longer-dated expiries moved lower amid a Monday session one source said was “nothing special” during the summer period.

In the underlying, the Bund sold off at the start of the session amid a global fixed income move after overnight weakness in JGBs, see JPY Swaps. However the session is ending with the 10y Bund future finishing near unchanged while the 10y Bund yield is marked around 2.50%.

Among the gains were 3m10y, moving up by 1.9 to 94.9nvol and rebounding from the recent lows of last week when the market briefly touched 91nvol intra-day last Thursday after the ECB. “There hasn’t been a great deal going through, perhaps it’s more dealers moving the screens,” one trader suggested.

Elsewhere, vega nudged slightly higher across much of the grid. For example, 10y10y is finishing up 0.1 at 72.3nvol and bouncing off the 2023 lows previously reached in early February.

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, see EUR MTNs: CMS, repacks and inflation.