Options - USD
The ULC and gamma saw further pressure today as Powell continued a dovish line.
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.
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.
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.
Vols are lower today, partly as a retracement from yesterday's air pocket higher. 1y10y has been a focal point.
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.
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.
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.
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
Delivereds dropped today but the vol surface was mostly steady. Some question how long it can stay that way. Deutsche favors buying 10y10y.