Yesterday’s Vol comment, I suggested we’d see Vol hit on market positioning if bunds pushed support. Well, we saw 6k bunds sold through my 159.34 lvl and Vol felt the consequences. OCT ATM^ lost 8 tics, with NOV ATM taking its time, but playing catch up in late trade, seeing us -7 lower on yesterdays session. This did encourage some to fade the ^ spread, paying 93 the 159.50^ switch which currently sits 93 middle. Imp Vol for OCT still holds its recent double bottom 3.7%, but guess that will be the case with ECB upon us.

SKEW has seen Calls lose their recent richness as BTPS have rallied 600 odd points since beginning of September, with Oct 200 combo into flat and NOV 300 combo +1.5 the put.

 

SCHATZ, sees continued buying of upside (albeit with some puts thrown in this time). DUZ8 112.10/50 CS stripped with DUX8 111.70P paid 5 in 10,000 & DUZ8 112.10/30 CS stripped with DUX8 11.70P paid 4.5 in 10,000.. **NOTE** the 111.70 strike pprs short via the 111.90/70/50 fly where ppr bought the best part 35-40k

 

 

Early trade yesterday saw Market Makers buying October Calls across the 160.5, 161 & 161.50 strikes. This became self explanatory as paper then unwound their short call position on the 161 strike, buying back 20,000 from their 160.5/161 combo paying 11.5 vs 159.83.

Thought now turns to outright price action. If RXZ8 pushes major support (159.34) we could see Vol hit on positioning.

Combo trades still long 25,000 of the RXV8 160.50P, ppr still long 20,000 of the 162 & 162.50 calls and to top it all off, ppr long the 159.50 Put vs the 159 & 158.50 strikes via various structures…. So positioning could be right but an unwind of trade would see IMP VOL back into last week’s double bottom 3.7%.

Put buying in OCT has seen skew flip +2 the put on the 200 combo, with Nov still sitting +1 the call on the 300 around the money…. We’d hope for these to normalise further but with Italian budget on the horizon, just wonder when that will be!

 

Other flow of note was the OEZ8 132/133 call spread paid 12.5 25,000 (Ref 131.135) , following suit with Schatz, where market has been purely focused on upside trade.