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 30,363.50 109 7.56%
2 JPMorgan 27,423.07 94 6.82%
3 Goldman Sachs 27,365.68 53 6.81%
4 Barclays 25,009.79 63 6.22%
5 Deutsche Bank 22,679.02 69 5.64%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Mizuho 299.85 1 21.73%
1 ING 299.85 1 21.73%
1 Commerzbank Group 299.85 1 21.73%
1 BNP Paribas 299.85 1 21.73%
5 UBS 60.22 1 4.36%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Goldman Sachs 1,607.28 5 22.59%
2 Credit Suisse 1,301.65 4 18.30%
3 UBS 970.80 3 13.65%
4 BNP Paribas 522.35 4 7.34%
5 SG Corporate & Investment Banking 444.17 3 6.24%