Euro/Dollar Vols Spike Briefly After G7 Meeting

  • 29 Sep 2003
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One-month euro/dollar implied volatility leapt to 12.2% on Monday last week from 10.6% but then sunk back to 10.65% by Thursday. The move came as a knock-on effect from the sharp moves in dollar/yen spot rates and one-month vols. The dollar depreciated against the euro, with spot rising to USD1.149 last Thursday from USD1.1255 the previous week.

One-month 25-delta risk reversals moved to 0.5% in favor of euro calls over euro puts from 0.2% over the same period. Traders said they had seen heavy volumes traded with business up 30-40% on the usual number of trades but not many exotic plays. Some of the business came from corporates repositioning hedges with few speculative trades.

Over the weekend a statement from the Group-of-Seven most industrialized nations said, "We emphasize that more flexibility in exchange rates is desirable for major countries or economic areas." As a result of this, dollar/yen broke through the JPY116 barrier that the Bank of Japan had been defending, causing volatility to rocket to 14% on Monday from 10.6% the previous Friday. Euro/dollar moved on the back of this. Giovanni Pillitteri, v.p. in foreign exchange options trading at Deutsche Bank in London, said the euro/dollar curve, however, has now flattened whereas other dollar curves remain inverted. This indicates the market thinks that euro/dollar volatilities will now stabilize. Andrew Chaveriat, technical analyst at BNP Paribas in New York, predicts dollar/yen will now stay around USD1.15 for the next month.

EUR/USD Spot & One-Month Implied Volatility

  • 29 Sep 2003

All International Bonds

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Citi 253,106.92 930 8.89%
2 JPMorgan 230,914.50 1036 8.11%
3 Bank of America Merrill Lynch 221,389.46 762 7.78%
4 Goldman Sachs 171,499.26 554 6.03%
5 Barclays 169,046.60 646 5.94%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • 21 Jul 2017
1 HSBC 25,385.87 103 7.10%
2 Deutsche Bank 25,125.19 81 7.03%
3 Bank of America Merrill Lynch 22,023.57 59 6.16%
4 BNP Paribas 18,766.65 109 5.25%
5 Credit Agricole CIB 18,157.63 105 5.08%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • 18 Jul 2017
1 JPMorgan 12,578.87 55 8.17%
2 Citi 11,338.07 71 7.36%
3 UBS 10,682.06 44 6.93%
4 Goldman Sachs 10,419.53 53 6.76%
5 Morgan Stanley 10,194.88 57 6.62%