Options - USD

USD Vol: ULC, gamma slip in lower with dovish talk

The ULC and gamma saw further pressure today as Powell continued a dovish line.

USD Vol: Vega switches; 0% floors and wedge

The 5y10y versus 10y10y dealt a number of times today while the 5y 0% saw a big lift. 1x2 1y1y wedge traded while some skew also dealt.

USD Vol: Gamma down; 3y2y riskies; No SOFR for a month

Gamma is again lower, with a mix of trades across the surface. 3y2y riskies trade. A month has passed since the last SOFR options trade.

USD Vol: Gamma grinds lower; 10y and 30y tail activity

Gamma slipped in lower as price action stagnated in underlying rates. 10y and 30y tails were most active in a session that was slow out of the gates.

USD Vol: Vols fall back lower after pop yesterday

Vols are lower today, partly as a retracement from yesterday's air pocket higher. 1y10y has been a focal point.

USD Vol: Vols richen with the back up in USTs

Gamma and the belly of the surface are strongly bid, while offers are scant. 0% floors trade. JP Morgan finds 3m5y cheap vs. liquidity risks.

USD Vol: Gamma stays buoyant

Gamma is a touch firmer today, with 3m expiries up to a normal higher. Trading has been light and new vega supply did not generate much vega hedging.

USD Vol: Vols rebound with fund losses, directionality

Gamma is higher, pushed overnight by news of bank losses tied to the Archegos fund. Rates have pulled back higher since, but vols have stayed higher.

USD Vol: Gamma nudges lower still; Payer skew softens

Gamma softened a bit, a move that sources felt signified a breather. 3m10y riskies traded late yesterday, and remain lower from the start of the week

USD Vol: Delivereds drop, but vols steady; Lofty breakeve...

Delivereds dropped today but the vol surface was mostly steady. Some question how long it can stay that way. Deutsche favors buying 10y10y.