EUR Vol: Implieds bid again amid bearish rates

Bond chart 30 Jan 2023
Euro implieds were bid again as rates were back under bearish pressure. New structured issuance includes a couple of callables.

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  • Implieds bid again amid bearish rates 
  • New structured issues

    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.

    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

  • BNP Paribas issued €20m 20y NC10 callable due Aug 2043. Coupon pays 4.42% with single call in Aug 2033. Self-led.

  • CIC issued €25m 15y NC10 callable due Aug 2038. Coupon pays 4.634% with single call in Aug 2033. Led by Jefferies.

  • SPIRE issued €34.5m inverse floater repack due Oct 2040. Coupon pays 3mE +92.53bps. Led by Natixis.