EUR Vol: Implieds drop after recent gains

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Euro implieds declined today with the right-hand side reversing recent gains.

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  • Implieds drop after recent gains
  • New structured issues

    Implieds drop after recent gains
    Euro implieds declined today as Bunds partially reversed yesterday’s sharp rally with the 10y future last down around 50 ticks while the10y yield moved back to 2.50% (+3bps).

    The upper left side of the grid dropped by 1 to 2 normals while the right side plunged over 7 normals in some pieces. The biggest decline was in 1m10y as it finished the session marked down by 7.4 normals at 95.8nvol, thus wiping out much of the gains from the previous two sessions.

    “We probably went a bit too far too fast,” reckoned one euro vol trader, “It’s likely there’s some fast money selling at these levels.” Still, in the medium-term he felt, “the move is for the right side to keep performing.”

    Vega followed and also got marked lower although a dealer said flows had been “pretty nondescript” when speaking earlier.

    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

  • Helaba issued EUR 6y NC1 stepped callable due Sep 2029. Coupon pays 3% until 2026, 5% until 2027, 6% until 2028 and 7% until 2029. Annual calls from Sep 2024. Self-led.