Options - USD

USD Vol: Implieds drop further; Longs pared

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.

USD Vol: Vols tick down; Re-papering for SOFR

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

USD Vol: Vols soften on debt ceiling resolution, June ski...

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.

USD Vol: Vols steady; Vega drops; Skew trades

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.

USD Vol: Implieds soften across the surface

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

USD Vol: Gamma rises further; Illiquid

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

USD Vol: Debt ceiling angst propels ULC, gamma higher

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.

USD Vol: Gamma vacillates; Left side underperforms right

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

USD Vol: Debt ceiling vigil; Vols bounce around

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.

USD Vol: Range breakout; Realizeds rise; 1y expiries gain

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.