EUREX VOL THOUGHT:
Recent ECB comment continued to weigh on the underlying. This in turn saw Imp Vol spike again. Nov bund has rallied 0.45% post Thursdays ECB meeting with Nov bobl just the +0.17%  higher. This was highlighted in yesterday’s trade where ppr actively bought the OEX8 130.50^ at 59 & 57 (following on from Mondays trade where the ^ was paid 55-55.5 in 3k) . NOV BUND also saw straddle buyers throughout the day (circa 148-152), with flow finishing the day off where we started, seeing the NOV/DEDC 158.50^ strip paid 364 500x.

Put buying continues with yesterday’s main trade seeing the RXX8 156.50/155 PS paid 17 4k & the RXX8 156/155 paid on the day from 17-23 in the best part of 10k.

We highlighted week before last how we expected a normalisation in Skew. This has come to fruition and given more than we’d expected seeing the 300 combo on Nov now sitting +5 the put & the DEC 300 combo sitting +7.

Thought now turns to our next move… Bunds could quite easily test the 157 level with generics pushing resistance at 0.64%, BUT with a 139 tic move lower in 2 days (323 point sell off on the month) we could also quite easily see a correction higher.. So ultimately we stay long vol time being on the above 2 scenarios, thought being, vol continues to richen on a sell off or gamma delivering on a correction to the underlying.