Options - GBP

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.

GBP Vol: Cheap vs EUR; Payer spread value

Some find GBP implieds rich versus EUR, while others eye value in GBP payer spreads.

ICE launches GBP SONIA Spread-Adjusted swap fix

ICE Benchmark Administration today announced it has started publishing GBP SONIA Spread-Adjusted ICE Swap Rate settings.

BOE RFR WG: Transitioning to SONIA in Structured Products

The BOE-convened Working Group on Sterling RFRs has published a paper on transitioning GBP structured products to SONIA in arrears.

EUR Vol: Implieds mixed as risks linger

Implieds are mixed as some traders find that risks linger.

FCA and BOE: SONIA non-linear switch by 11 May

The FCA and BOE encourages the SONIA switch for sterling non-linear derivatives to be made by 11 May.