Options - GBP

GBP Swaps: Market rattled to its core; It’s Truss-time ag...

At the 4:15pm close today the 10y gilt yield was 13.5bps higher on the day as Bunds plunged and SONIAs gave up the ghost.

GBP Swaps: Long end drives bull-flattening; Linker views

The long end drove bull-flattening along the sterling curve today amid cheapening in asset swap spreads. Banks look at linkers ahead of the IL73.

EUR Vol: Unloved top left finds buyers

The top left has seen a few buyers emerge after being described as unloved in recent sessions.

London loses market share in OTC derivatives trading: BIS

Where are most OTC interest rate derivatives traded? Still London, but not as much as in the past according to the latest BIS data.

EUR Vol: Bids return amid another gilt-led selloff

Bids in euro vol returned as as gilts led another selloff in fixed income.

EUR Vol: Bid across grid; Top right rebounds

Euro implied vols were bid across the grid and the right-hand side rebounded after recent underperformance.

JPY Swaps: Spreads cheapen on sell-off; Border relaxation

JPY swap spreads have cheapened as JGBs have sold off. Japan is planning to loosen its restrictive border rules.

GBP Swaps: Gilts richer after DMO cuts sales target

A larger-than-expected cut in planned 2022/23 issuance has seen gilts modestly outperform cross-market and against swaps following the DMO Remit.

November 8th is SOFR First for non-linear

MRAC has set November 8th as the date for switching interdealer trading conventions from LIBOR to the SOFR for USD non-linear derivatives.

GBP Vol: Tentative sellers after recent highs

A few tentative sellers emerge in the sterling vol market following recent highs.