Options - USD
Gamma was strongly bid with the jump in realized volatility amid today's strong bear steepening rate move. However, some offers have come in since.
The deadline for making non-linear products 'SOFR First' is imminent but are dealers - as well as brokers and end-users - ready for the switch?
The left side has popped higher while the right side was dipping in even prior to the FOMC. Post FOMC sources see some selling into the left side pop.
3m10y risk reversals traded a tad lower pre-FOMC. The right side loses some momentum and reverts a touch softer. BofA favors long vega.
Higher delivereds in the long end of the curve have sent the right side outperforming the left. PIMCO's Chan highlights SOFR options concerns.
With the continued underlying selloff, gamma has firmed again today, led by 5y tails. A chunky 40y NC5 ZC Formosa adds to vega underperformance.
3m5y traded up as the belly outperformed in gamma. 10y10y SOFR traded. CFS, risk reversals also see flows. Deutsche buys 10y30y.
Gamma is firming a bit today as Treasuries are letting some of the air out of yesterday’s post-CPI bull-flattening rally.
Gamma is a bit firmer against the underlying bear steepening, after softening for much of the week. Sources see slow SOFR take up, day count changes.
The stellar 30y auction pushed USTs and thus delivereds higher, but gamma dropped in. 3y10y SOFR trades. Skew active.