Market Update

EURO VOL UPDATE: Fri, 05/25/2012 - 13:19

European equities are once again trading in red territory (with the exception of the DAX), though Estoxx vols remained offered across all terms and particularly in the front end. With the markets oscillating in a range over the last few sessions, gamma has become difficult to carry leading to decent pressure in Jun. Skew is near unchanged, if a little offered in the near-term. Volumes point to a dreary session as 600k contracts trade, the focus overwhelmingly in Jun. Read more »

MACRO UPDATE Fri, 05/25/2012 - 11:13

On a light day for macro news flow, markets are cautiously stronger, although with Memorial Day in the US on Monday there appears little conviction in the market. In addition, with the ongoing uncertainty in the Eurozone with Spanish 10-year yields continuing to hover around unsustainable levels of 6.15% for the country, the market is clearly nervous about potential headlines over the weekend. It appears the anti-bailout view is gaining traction and the discussions leading up to Greece’s election are likely to be another catalyst potential. Read more »

EURO VOL UPDATE Fri, 05/25/2012 - 09:37

Buoyant start to the session across European markets with DAX leading the positive open. On the vol side, the dynamics are similar across Eurozone indices: ATMF is trading significantly lower with skew bid on the front-end driven by the pressure on upside vols. However, UKX Jun upside vols are aggressively bid, pushing the skew lower. SX5E volumes are around average as 200k contracts trade, flows including a seller of the Jun 2325/2400 1x2 CR in 10x20k. Read more »