Implieds bid again amid bearish rates
Bunds were back under bearish pressure after the overnight FOMC minutes and then a gilt-led selloff in global fixed income during today’s session. The 10y Bund yield has gained +6bps to 2.70%, not far from the highs a couple of sessions ago.
Euro implieds were bid again, with the 3m expiries anywhere from 1.5 to 3 normals higher and several pieces getting closer to the highs from earlier this week. For instance, 3m10y is up 1.8 at 105.5 having peaked above 106nvol earlier this week.
Note that yesterday euro vol traders felt the decline in yields felt unconvincing and reported limited gamma selling interest on moves higher, see EUR Vol.
Elsewhere, it was a similar picture in vega as implieds edged higher. For instance, 5y10y moved up by 0.6 to 90.4nvol, while 10y30y gained 0.4 to 63.8nvol.
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