OIL: India Crude Imports Rose in October

• Implied vols trade very heavy across G10 FX, however there are potential hotspots for activity into year-end that could prompt a spell of vol reversal. The premium for 2m over 1m GBP vols signals latent event risk around the November 26th UK Budget, while trade headline risk may mean AUD vols are undervalued.
• As has been the case across the past few weeks, implied vols remains very heavy - particularly in the front-end of the curve. The drivers here are largely low (and falling) realized vols as well as soft option demand. DTCC data shows just ~$70bln notional of currency options traded yesterday. Outside of US market holidays, this marks the second-lowest session of options trade of the past three months.
• EUR realised vols continue to decline: 1m today prints 5.8 points, the lowest in twelve months and easily the lowest level since the November Presidential election. The (relatively) smooth transition to a new cabinet and pension reforms in France will be partially responsible, but it's the solid pricing for ECB and Fed rates that will be largely responsible for the very low premiums for any contracts covering the end of 2025.
• The effect is not contained to EUR markets, however, as the factoring-out of a BoJ hike in October (and, to a lesser extent, in December) prompts front-end implied to look through Takaichi's appointment and remain subdued.
• This leaves AUDUSD vols trading very heavy into next week's APEC Summit and the meeting at which Trump-Xi could seal progress toward a trade deal. The sensitivity of AUD 1m implied to Trump's threat of additional China tariffs a few weeks ago shows disappointment here could stir renewed gamma demand, leading to a vol recovery.

• Spread set at MS + 72bps (guidance weas MS + 80bps area then revised to MS + 75bps area)
• Tap Size: E500bln (WNG)
• Books in excess of E1.55bln (inc E120mln JLM interest)
• Settlement: 28 October 2025 (T+5)
• Joint Leads: Erste Group, J.P. Morgan (B&D) and Societe Generale
• Timing: Books to close at 13:30BST / 14:30CET

From market source
 

• Secured Overnight Financing Rate (SOFR): 4.16% (-0.02), volume: $2.945T
• Broad General Collateral Rate (BGCR): 4.12% (-0.04), volume: $1.164T
• Tri-Party General Collateral Rate (TCR): 4.12% (-0.04), volume: $1.135T
• (rate, volume levels reflect prior session)