Options - USD

USD Vol: ULC dives in lower

The ULC cheapened up as much as 9 normals today, leaving bids scurrying. Some wonder if more cheapening is in store. Deutsche sees a ULC conundrum.

USD Vol: ULC, wedges see sellers; 1y1y active

The vol surface is lower as realizeds dried up and sellers came in, led by ULC and wedge activity. Citigroup favors selling 1y5y vs. 5y TIPS BEs.

USD Vol: Gamma pushes higher as 5y auction presses on belly

The 5y auction was very poor after this morning's 2y tailed 0.5bp. Rates rose with realizeds highest in the belly. Gamma firmed back up, led by left

USD Vol: Belly vols cheapen further despite big realizeds

Vols were lower today despite the backdrop of heady realizeds. The ULC rebounded off the lows, however, while the rest of the surface stayed down.

USD Vol: Vols directional, but high realizeds supportive

Gamma softened today versus the underlying rally, but sources see the high realizeds as generally supportive of the continued high level of vol.

USD Vol: Liquidity returns; Left to right move

Sources report more liquidity in the markets. The right is outperforming the left. BNP Paribas likes a 6m1y vs 18m1y low strike receiver trade.

USD Vol: Vols go bid in whippy price action

Implieds are back higher as the whippy price action this morning caused bids to quickly come back in. 1y10y was lifted early across a wide bid/offer.

USD Vol: Vols lose altitude in post-FOMC rally, event pas...

The vol surface is shifting downward amid the underlying UST bull steepening and passage of the event. 1m expiries are down up to 12 normals.

USD Vol: Right side underperforms vs left side

The right side has come in versus the left today. Some of the craziness has eased from the last two sessions. CME SOFR option volumes tops 1M.

USD Vol: Vol scream higher with realizeds through the roof

As realizeds surpass 30-40bps for the past two sessions, vols have screamed to new highs. Trading was an illiquid wasteland initially, but some flows