Options - USD

USD Vol: Vols tick up post-FOMC; 5x7 wedge; Accreter

Vols rose, somewhat tepidly, considering the delivered vol post-FOMC. ULC traded along with 2y10y. Earlier, a 5x7 wedge and a 30y accreter dealt.

USD Vol: Intermediate vols see sellers after small firming

Intermediate vols in 10y tails from 1y10y to 5y10y saw selling this afternoon as a light bid this morning was sold, on possible clean up activity.

USD Vol: Implieds firm along with UST selloff

Vols are starting the week higher, with 3m expiries up as much as 1.5 normals. 10y tails see interbank activity. BofA looks to buy 1y10y on a dip

USD Vol: CPI delivereds underwhelm; Vols drop

Gamma is lower in part due to the passage of the CPI event, but also due to low realizeds, sources say. The ULC continued to underperform.

USD Vol: Gamma on long tails lifts further

For the second day in a row, gamma on longer tails has firmed despite the underlying rally. Sources suggest stop outs of short vol positions perhaps.

USD Vol: Vols bounce, led by longer tails, gamma

Gamma on longer tails have led a small bounce today as recent cheapening in vols has stabilized, sources judge. 3y2y 100bp high payers trade.

USD Vol: Gamma, ULC dive; ZCs enough explanation for vega...

The rally post NFP has hit gamma and the ULC hard, with the rest of the surface following. ZCs popped up and may help to explain recent vega softness

USD Vol: Jittery ahead of NFP; Gamma rises

The ULC and belly tails in gamma are higher ahead of NFP, and sources find the market jittery ahead of the event. Vega switches were active.

USD Vol: Tedium drags vols down; Vega selling breather

The vol surface is lower as realized volatility is low, and rates have not moved. Sources see risk/reward slanting toward higher rates/higher vol.

USD Vol: Vega slumps, led by lower left

The vol surface is lower, with exception of 1m expiries that are only higher optically. The lower left has led the softening with 4y2y hit down.