EMISSIONS: EUAs Options Implied Volatility Rebounds From All-time Low
Jul-17 13:16
{EU}{EUA Dec25 implied volatility as of 16 July was at 28.87%, rebounded slightly from the previous all-time low of 28.57% on 10 July, while EUAs Dec25 edged down by 0.42% w/w, suggesting a bearish sentiment while participants are expecting limited disruptions in the short-term.
- EUA Dec25 implied volatility remained well below the 34.86% in early April when the US tariff announcements shook the global markets.
- EUA Dec25 25 delta call-put volatility skew is at -2.25%, widened from the -2.63% on the last trading session in the prior week.
- EUA Dec25 options put/call open interest ratio remained stable at 0.79. Put contracts rose from 128k to 130k contracts w/w, while call contract remained stable at 163k.
- The largest put open interest stood at 15k at the €60/ton CO2e strike, while call open interest sit at 31k at the €100/ton CO2e strike.
- EUA DEC 25 down 1.18% at 70.47 EUR/t CO2e
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MNI: US MAY INDUSTRIAL PROD -0.2%; CAP UTIL 77.4%
Jun-17 13:15
- MNI: US MAY INDUSTRIAL PROD -0.2%; CAP UTIL 77.4%
- US APR IP REV TO +0.1%; CAP UTIL REV 77.7%
- US MAY MFG OUTPUT +0.1%
EURIBOR OPTIONS: Latest Call Ladders
Jun-17 13:12
- ERZ5 98.25/98.50/98.625c ladder, bought for 3.75 in 3.5k.
- ERZ5 98.25/98.375/98.50c ladder, bought for half in 2k.
SOFR OPTIONS: Post-Data Flow
Jun-17 13:08
Call spread selling, conditional curve plays while underlying futures continue to scale back from post-data highs. White pack (SFRM5-SFRH6) trades steady to -.005. Projected rate cut pricing consolidates slightly from earlier levels (*) as follows: Jun'25 at 0.0bp, Jul'25 at -3.1bp (-3.6bp), Sep'25 at -18.2bp (-19.5bp), Oct'25 at -31.1bp (-32.6bp), Dec'25 at -47.3bp (-48.8bp).
- -10,000 0QZ5 97.50/97.62 call spds, 1.75 vs. 96.73/0.05%
- +2,500 SFRZ5 96.37/96.75 call spds vs. 0QZ5 97.25/97.50 call spd, 1.5 net/steepener
- +2,500 SFRN5 95.37/95.68 put spds, .37
- -4,000 SFRU5 95.68/95.81/96.25/96.37 call condors, 5.25 ref 95.875
