Options - USD

Gamma and intermediate vol has sunk down further off the back of lower realizeds, the resolution of the debt ceiling and cementing of June pause.

Gamma is smidge lower to start the week amid lower realizeds, though still decent intraday ranges. Sources note SOFR transition re-papering work.

Implieds are lower across the board, with 1m expiries down more than 10 normals. Sources see the default premium being shed while skip talk heats up.

For the final day of May, vols were mostly steady to slightly lower. Skew sees some receiver over trades. Barclays looks at skew/rate dynamics.

Vols are down across the board with gamma leading and the left side underperforming. Trading has been light. JPM examines post-hike moves.

Gamma is up again today with wider bid offer, low liquidity and nervous price action. Citigroup sees USD vs EUR vol levels as stretched.

With the time ticking down, no agreement on the debt ceiling is starting to cause angst, yields and vol to push higher. JP Morgan turns long gamma.

Gamma is seeing small moves with the left side lower vs. the right amid the underlying flattening. Barclays examines recent SDR swaption trends.

Vols are higher but off the earlier highs as the debt ceiling has price action corralled. Deutsche sees left to right side vol ratios reverting.

The week long UST selloff gained further momentum with rates breaking out of the range. 1y expiries led a firming. JP Morgan stays neutral gamma.

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