OIL OPTIONS: Put Vol Higher as ATM Implied Just Above 40%
Jun-16 13:46
Crude oil implied volatility rebounds back above 40% after just touching below for the first time since early Feb.
- Crude volatility has been gradually falling since March despite the high market uncertainty. Global supply disruptions from Russia and various OPEC members continued to be weighed against concerns over the impact of inflation of global economies. The impact of a Chinese recovery is also unclear with the potential of a return to covid restrictions due to the zero covid policy possibly still in place into 2023.
- The increased risk of reduced oil demand growth is reflected in the shift in the volatility surface. The implied vol of 25 delta Brent puts for August has increased to 5% above calls with Dec22 puts also now 3% higher.
- The graph below shows the change in Aug Brent vol skew from last week:
Source: Bloomberg
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RIKSBANK: Hawkish comments from Ohlsson
May-17 13:37
- Some hawkish comments here from Ohlsson who has said that 50bp is possible, and he can't say if it's on the table for June. He's also reportedly said that he would advocate a 50bp hike if he deemed it necessary.
- Note that MNI assesses Ohlsson as one of the more hawkish members of the Riksbank - with his view in April largely in line with that of Governor Ingves. With Skingsley seemingly more hawkish, if Ohlsson, Ingves and Skingsley vote for 50bp that's all that would be needed for the larger hike.
- MNI estimates that the Riksbank's main scenario forecast put a 25bp hike at 100% probability in June but the alternate scenario saw a 50bp hike with a 100% probability... Inflation released last week was between the 2 scenarios, so it makes sense that Ohlsson is considering 50bp.
PIPELINE: Banks, managed Care/Insurers Drives Corporate Issuance Surge
May-17 13:37
- Date $MM Issuer (Priced *, Launch #)
- 05/17 $Benchmark United Health 5Y +105a, 7Y +135a, 10Y +155a, 30Y +190a, 40Y +210a
- 05/17 $Benchmark Citigroup 3NC2 +165a, 3NNC2 SOFR, 6NC5 +190a, 11NC10 +220a
- 05/17 $Benchmark HSBC 2Y +125a, 2Y SOFR
- 05/17 $Benchmark Motorola 10Y +275a
- 05/17 $1B OKB 3Y SOFR+25
- 05/17 $Benchmark Japan Int Cooperation Agcy (JICA) 5Y SOFR+63a
- 05/17 $Benchmark Export Development Canada 5Y SOFR +36a
- 05/17 $800M Oncor Electric Delivery 10Y, 30Y
EQUITIES: EU Bank stock options
May-17 13:27
SX7E 16th Dec 90c, looks sold at 5.65 in 12k vs ~5.3k CAM2 at 85.60
