EUR Vol: Right-side leads amid risk-off

Chart green up line 15 Jun 2022
The risk-off backdrop helped to support the right-hand side of the grid.

Start a free trial to read this article

Join today to access all  Total Derivatives content and breaking news. Already a subscriber? Please Log In to continue reading.

Or contact our Sales Team to discuss subscription options.

Get in Touch
Blurred image of Total Derivatives article content


  • Right-side leads amid risk-off
  • New structured issues

    Right-side leads amid risk-off
    Today’s risk-off backdrop has supported the Bund and seen equities trade lower following the Fitch credit downgrade of the US. The underlying risk aversion has resulted in the vol surface shifting towards the right, with intermediate and longer tails firming relative to the left-hand side.

    The right “continues to perform well” with “risk-off rather than steepening” pushing today’s move higher, according to a dealer. Still, he noted that while 2s/10s steepening may have stalled, the longer-end of the swap curve has seen 10s/30s continue to edge higher.

    As a result, 3m expiries in the top right were last 1.2 to 2.3 normals higher on the day. For instance, 3m30y is finishing up 2.3 at 82.7nvol and has gained around 6 normals this week.

    In vega, longer-dated expiries are also continuing to post gains, such as 5y30y up 0.4 at 74.4nvol having been marked as low as 73.5nvol intra-day towards the end of last week.

    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

  • Credit Agricole issued €30m zero-coupon callable due due Aug 2033. Estimated IRR 4.14%. Annual calls from Aug 2028. Self-led.

  • DZ Bank issued €30m 10y NC1 callable due Aug 2033. Coupon pays 4.895% with single call in Aug 2024. Self-led.

  • DZ Bank issued €50m CMS-linked note due Aug 2033. Coupon pays EUR 10y CMS +135.2bps capped at 6% and floored at 0%. Self-led.

  • RLB Oberoesterreich issued €10m 20y NC8 callable due Aug 2043. Coupon pays 4.026% with single call in Aug 2031. Self-led.

  • Vontobel DIFC Dubai issued €25m credit-linked note due Aug 2028. Coupon pays 4.8% credit-linked to Glencore Finance Europe Ltd. Further details unavailable.