Options - USD

USD Vol: Gamma jumps with realizeds; Faded

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.

Non-linear SOFR First imminent - Are dealers ready?

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?

USD Vol: Strong right to left move post-FOMC

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.

USD Vol: 3m10y riskies trade down pre-FOMC; Right/left re...

3m10y risk reversals traded a tad lower pre-FOMC. The right side loses some momentum and reverts a touch softer. BofA favors long vega.

USD Vol: Right outperforms left in thin trade

Higher delivereds in the long end of the curve have sent the right side outperforming the left. PIMCO's Chan highlights SOFR options concerns.

USD Vol: Gamma firms further, led by belly; Vega supply

With the continued underlying selloff, gamma has firmed again today, led by 5y tails. A chunky 40y NC5 ZC Formosa adds to vega underperformance.

USD Vol: 3m5y leads a gamma bounce; 10y10y SOFR

3m5y traded up as the belly outperformed in gamma. 10y10y SOFR traded. CFS, risk reversals also see flows. Deutsche buys 10y30y.

USD Vol: Gamma firms as post-CPI rally fades

Gamma is firming a bit today as Treasuries are letting some of the air out of yesterday’s post-CPI bull-flattening rally.

USD Vol: Directional as gamma firms a bit; Day count SOFR...

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.

USD Vol: Gamma drops despite higher realizeds

The stellar 30y auction pushed USTs and thus delivereds higher, but gamma dropped in. 3y10y SOFR trades. Skew active.