SECURITY: Iran Appears Likely To Reject Uranium Transfer And Zero Enrichment

The DMO has announced it will be looking to sell GBP4.25bln of the 4.75% Oct-35 Gilt (ISIN: GB00BTXS1K06) at its auction next Tuesday, February 3.

OEH6 117c, bought for 8 in 3k (ref 116.37).

• We noted just last week that the recovery patterns in volatility could help define currency markets in the first half of 2026, and implied vols are beginning to suggest a recovery could come sooner than expected. EURUSD 3m implied has rallied well over the past week, adding 1.5 points to hit multi-month highs today.
• Despite the low levels of outright historic vol (3m realised remains in range of multi-year lows posted last week), the uptick in implied should not be discounted. The premium of implied over realised 3m vols is now the largest since 2022, and the ratio between the two measures is the highest since COVID. 

Figure 1: EUR implied/realised vol ratio now the higest since COVID

Source: MNI / Bloomberg Finance L.P.

• This suggests after an extended period of low options appetite across the end of 2025, demand is swiftly beginning to pick up across the first few months of the year, and markets are cognizant of vol triggers stemming from the White House, Japan's February election and leadership uncertainty in the UK.
• This may mean a long-anticipated phase of vol recovery could be quicker than previous phases (see chart below), and EUR is seen as primary beneficiary - so much so that 3m EURUSD risk reversals have cleared to the highest levels since Trump's Liberation Day tariffs in April last year.