Options - USD
1y2y, 2y1y and 3m2y all pushed higher today and dealt in good size as the ULC shot higher. Intermediates see a steady bid. 2y10y, 1y30y skew trades.
Gamma plunged with the passage of the FOMC event along with the certainty of a March rate hike. Citigroup favors buying gamma on a dip.
Gamma is a touch lower while longer expiries are higher, but not on much actual trading. 6m10y, 6m30y riskies trade, with payers richening.
Gamma is a tad lower while longer expiries are lightly bid amid a dearth of trading. Some see 1y5y and 1y10y points attractive buys. JPM shorts gamma.
Delivered volatility dropped today, and the surface was relatively static to a touch lower. Vega, 100bp HS payers and LIBOR 0% floors trade.
With today's UST rebound, the surface is lower. Gamma is leading, but sources see some firming in ULC payer skew. Vega is softening ahead of CNY.
Short expiries vaulted higher with today's hefty underlying selloff and breakout. Longer tails see the bulk of interbank activity.
Gamma and vega both softened today, amid lower underlying rates. Dealers appear content to hold onto vega for now, but some see lightening up soon.
CPI, the 10y auction and Beige Book failed to stir the animal spirits as realized volatility has been very sedate for such a line up.
Gamma is higher despite lower delivereds while vega continues to firm against a backdrop of continued strong vega supply.