Friday, 02 August, 2019
European Vol
OVERNIGHT melt down saw BUND vol explode in early trade. SEP BUND flew 13 tics higher, pricing 4.1% Imp Vol versus yesterday’s low print of 3.3%.
Panic calls were bought as Futures printed fresh contract highs and the combo flow loomed short 50,000 calls. Low & behold as Europe was in full swing, “El Combo” came wading in covering 20,000 of their RXU9 174c & 11,000 of their RXU9 174.50c rolling into 25,000 of the RXV9 172-174 COMBO (+P) & 17,000 of the RXV9 171.50/174.50 COMBO, pushing SEP PUT skew back into +1.5 with OCT sitting rich at +6. This also saw SEP vol come back in pushing SEP ATM^ back into just +5 on the session and OCT sitting +6.
MAIN POSITION NOW SEES PPR..
*COMBO FLOW*
-5,000 RXU9 174C
-14,000 RXU9 174.50C
+25,000 RXU9 172P
+25,000 RXU9 171.50P
-25,000 RXV9 174C
-17,000 RXV9 174.50C
+25,000 RXV9 172P
+17,000 RXV9 171.50P
ADDITIONAL FLOW TO THE ABOVE…
-20,000 RXU9 174.50C
+10,000 rxu9 174/173 PS
+10,000 RXUP 172P
+7,500 RXU9 171P
+20,000 RXV9 170.50/169.50 PS
As bunds made fresh contract highs and market scrambled for calls seeing the SEP ATM^ running back to mornings level +12 on the day.
BUT…this was swiftly reversed within the hour as OCT calls were sold (awaiting further combo flow perhaps), taking Imp Vol into unchanged on the session. We grabbed this pre data buying the RXUP 176^ 133-134 2k.
As already covered, flow has seen Sep skew flatten considerably, taking the 300 combo into parity where we saw R.V buy the RXU9 174.50/177.50 Combo flats and 01 in 2k, nice!
BOBL: Market welcoming vol spike, knocking out back month ^’S (AGAIN!). OEV9 135.50^ SOLD at 78-78.5 (1.7%)
EURIBOR: VERY quiet flow. MID DEC VOL lifted, ORZ9 100.62^ paid 13 & the 0RZ9 100.50/62 strangle paid 7.5
ERM0 100.62C was bought 4.5 3k vs 57.5 32%, which Market makers were happy to sell to small offset RED ^ seller.
WE ALSO SAW a revisit to buying Red Puts. A trade that’s been quiet last month or so. With the Combo sitting at attractive levels, Ppr couldn’t resist, via the ERU0 100.25/100.62 combo, where the call was sold at 4.25 2.5k vs 57.5 45%d.
UNWIND : 2RH0 100.37/50/75 1x1x2 c ladder ppr sells 3.5k @ 3.5 / 2RZ9 100.50/62 1×2 cs ppr sells 4k @ 1.25
HAVE YOURSELF A GREAT WEEKEND 😊
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