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The 1Y/5Y vol curve slope in EURUSD is a whisker away from all-time highs and is worth watching closely for a top since 1Y vol tends to pivot more than 2% pts higher from such peaks.
Large gyrations in heavily positioned in high-beta EM FX continued to dominate price action in options markets for another week, but not much of note transpired elsewhere in an otherwise quiet week.
While the stock index for short term implied volatility decreased by -0.6pt on average (spot effect = -0.3pt).The Euro Stoxx 50 3M ATM IV decreased by -0.6pt to 12.5% (vol effect =-0.4pt) and S&P500 3M ATM IV decreased by -0.7pt to 9.6% (vol effect =-0.2pt).
The EuroStoxx50 skew 3M 90%-110% lost -28bps to 7.8pt and the S&P500 skew 3M 90%-110% lost -103bps to 8.1pt.
Volume: Index option activity was quite high yesterday. The EuroStoxx50 options were traded for Eur33.9bn (0.8x its 1M ADV). S&P500 options were traded for Eur395.1bn (1.4x its 1M ADV).
Note that FTSE MIB was also active with Eur0.6bn traded (1.5x its 1M ADV). The EuroStoxx50 put/call ratio was at 2.1, SPX at 1.2 and FTSE MIB at 1.3.
Active Options: S&P 500: Dec-yy 2600 (100%) Call for EUR10.5bn, Dec-yy 2600 (100%) Put for EUR6.4bn.
VIX is lower at 9.7% (down -0.9 pts), V2X is lower at 12.9% (down -0.8 pts), VNKY is lower at 18.3% (down -1.2 pts). Courtesy: SG
