Options - USD

USD Vol: ULC surges higher; SOFR First implications wrest...

The ULC is surging amid today's belly led selloff. ULC wedges and skew were active. Participants mull the implication of MRAC's SOFR First on 11/8/21.

November 8th is SOFR First for non-linear

MRAC has set November 8th as the date for switching interdealer trading conventions from LIBOR to the SOFR for USD non-linear derivatives.

USD Vol: Gamma drops parallelly; CFS, wedges; ULC skew

Gamma is lower as rates saw a small bull steepening today. CFS is active with 2x3 and wedges trading as well as a strangle. Barclays vega outlook.

USD Vol: Left side rises further while right side slumps

The strong underlying curve flattening has produced a commensurate right to left move as the ULC is firming while right side tails are lower.

USD Vol: 2y10y bid with higher rates; Payers, receivers

Higher rates/higher vol theme saw robust evidence today as gamma and intermediates were better bid, especially 2y10y.

USD Vol: Lower right, 3m10y L/SOFR switches; Skew flows

The lower left saw more flows today while 3m10y LIBOR/SOFR dealt at flat. 2y10y, 3m5y saw skew trading. Barclays sees bearish leanings on the SDR.

USD Vol: 30y tail skew active; 3m gamma lags

30y riskies and strangle/straddles saw a burst of activity today. 3m gamma notably lagged versus 1m expiries today. JPM likes buying 3y10y vs. 6m10y.

USD Vol: Pushback on SOFR First; 10y tail activity

Sources find a pre-year end deadline for SOFR First for non-linear aggressive and difficult to attain. Deutsche favors a 6m30y payer.

USD Vol: Intermediates supported; Gamma softens

Amid lower realizeds, gamma is unchanged to a touch lower while intermediate expiries are a tad better supported. Vol steepener switches trade.

USD Vol: Gamma, ULC drop in: Vega sellers

The retracement back to lower yields combined with lower realizeds help to soften in gamma points as well as the ULC. Vega sees some selling pressures