Sell-Off Drives Vols To Five-Year Lows

Hedge funds and bank prop desks were selling short-term volatility last week across all currency pairs, driving short-term implied volatility levels to historic lows.

  • 18 Aug 2006
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Hedge funds and bank prop desks were selling short-term volatility last week across all currency pairs, driving short-term implied volatility levels to historic lows.

One-year euro/U.S. dollar implied volatility hit a five-year low Tuesday of 8.58% and other currency pairs were at similar lows. Anticipation of several weeks without economic data releases and upcoming public holidays prompted shorting out to the end of August.

"Hedge funds don't want to carry any long option positions into the end of summer," said one New York trader. "We haven't seen them putting on any new [short-term] positions, but they've been liquidating long volatility positions in the front end of most curves." At the same time, long-term players were looking to pick up volatility across pairs around three months and out.

The most popular trades were one-year euro/dollar at-the-money straddles and euro calls with strikes around USD1.385, traders said. EUR/USD spot was relatively unchanged at USD1.285 Wednesday from the week before. One-year EUR/USD implied volatility traded at 8.58% Tuesday from 8.75% the week before, and one-month implied vol closed at 7.35% Tuesday from 7.6% August 9. Cable saw slightly bigger moves and traders reported similar positions but less volume.

BNP Paribas's three-month weighted average fx volatility index of all major currency pairs traded near two-year lows at 7.96%. Naomi Fink, currency strategist in New York, said implied volatilities normally trough in August and uncertainty about macro-economic factors like monetary policy and the U.S. housing market compounded this year's vol crunch.

  • 18 Aug 2006

All International Bonds

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • 14 Aug 2017
1 Citi 277,535.88 1017 9.04%
2 JPMorgan 248,534.46 1144 8.10%
3 Bank of America Merrill Lynch 241,815.62 851 7.88%
4 Goldman Sachs 183,141.94 602 5.97%
5 Barclays 180,728.08 692 5.89%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • 15 Aug 2017
1 HSBC 28,409.71 115 7.09%
2 Deutsche Bank 26,802.83 89 6.68%
3 Bank of America Merrill Lynch 24,896.88 69 6.21%
4 BNP Paribas 21,168.42 119 5.28%
5 Credit Agricole CIB 19,323.66 110 4.82%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • 15 Aug 2017
1 JPMorgan 13,671.74 61 7.88%
2 Citi 12,076.06 76 6.96%
3 Morgan Stanley 11,895.38 66 6.86%
4 UBS 11,800.30 47 6.80%
5 Goldman Sachs 11,107.46 58 6.40%