Euro/Dollar Vols Spike After Rally In Spot

  • 27 Oct 2003
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One-month euro/dollar implied volatility recovered to 11.5% from earlier lows of 10.5% last week following the surprise strengthening of the euro against the dollar on Wednesday . In the spot market the euro strengthened to USD1.1810 from USD1.1650 earlier in the week. This was accompanied by a sharp sell off in short-dated euro calls with strikes at USD1.15/1.16 at the beginning of the week, according to a London-based trader.

Traders said the one-week to one-month end of the market was dominated by a large exotic trade, probably a euro call struck at USD1.16-1.17 with a knock-out at USD1.20.

One-month 25-delta risk reversals have risen to 0.60% in favor of euro calls after sinking as low as 0.40% earlier in the week. The risk reversal was 0.90% in favor of euro calls when the euro reached USD1.18 in the spot market earlier this month. For investors who believe the euro could go higher than USD1.18, now is a good time to buy calls since they are cheaper than two weeks ago, said Giovanni Pillitteri , v.p. in foreign exchange options trading at Deutsche Bank in London.

The sudden weakening of the dollar against the euro could not be explained by the release of data on the U.S. economy as no significant data was released last week, noted Mark Austin , head of foreign exchange research at HSBC in London. Recent U.S. economic data has been strong, he added. Austin said a sell-off in U.S. equities on Wednesday prompted investors to dump the dollar.

EUR/USD Spot One-Month Implied Volatility

  • 27 Oct 2003

All International Bonds

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Citi 345,198.83 1347 8.09%
2 JPMorgan 341,363.25 1469 8.00%
3 Bank of America Merrill Lynch 306,420.54 1057 7.18%
4 Barclays 256,906.26 968 6.02%
5 Goldman Sachs 227,680.37 772 5.34%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 BNP Paribas 48,038.21 201 6.58%
2 JPMorgan 46,115.73 103 6.31%
3 UniCredit 39,566.35 173 5.42%
4 Credit Agricole CIB 37,118.63 184 5.08%
5 SG Corporate & Investment Banking 36,637.33 141 5.02%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 JPMorgan 14,111.63 62 8.97%
2 Goldman Sachs 13,469.15 66 8.56%
3 Citi 9,971.36 58 6.34%
4 Morgan Stanley 8,572.10 54 5.45%
5 UBS 8,391.04 36 5.33%