Eurex: European fixed Income left largely treading water
10 August 2018 Frankfurt
Image: Shutterstock
European fixed income markets in July were left largely treading water with low levels of realised volatility across the core benchmark products, according to Lee Bartholomew head of fixed income and FX product at Eurex.
In a company newsletter, released on 8 August, Bartholomew said this implied volatility was sold lower as the underlying markets failed to break out in either direction.
This was also reflective of volumes in the over the counter markets, Bartholomew found, where gamma edged lower over the course of the month and sat at historically low points. The 30-day bund volatility has not exceeded 6 percent for any real length of time.
Bartholomew went on: “The only real event for the market was the Bank of England interest rate decision towards the end of the month, but that was priced into the front end and volatility was sold into the event.”
Venturing into early August, Eurex saw an increase in realised volatility as the markets sold off, which, according to Bartholomew, was triggered by the Japanese Government Bond market and stronger-than-forecasted US ADP National Employment Report data.
In a company newsletter, released on 8 August, Bartholomew said this implied volatility was sold lower as the underlying markets failed to break out in either direction.
This was also reflective of volumes in the over the counter markets, Bartholomew found, where gamma edged lower over the course of the month and sat at historically low points. The 30-day bund volatility has not exceeded 6 percent for any real length of time.
Bartholomew went on: “The only real event for the market was the Bank of England interest rate decision towards the end of the month, but that was priced into the front end and volatility was sold into the event.”
Venturing into early August, Eurex saw an increase in realised volatility as the markets sold off, which, according to Bartholomew, was triggered by the Japanese Government Bond market and stronger-than-forecasted US ADP National Employment Report data.
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