ITC Option Recap Sample: Vol slips but gamma outperforms; upside in sterling further down the curve

ITC Option Recap:

Bund: RXM8 vol breached 3% yesterday , which is (another) new low… However there was glimmer of hope for the MM community as the underlying had a 92 tick range easily paying for the 29 tick a day breakeven gamma rent… And we still have 21 days to expiry so there’s plenty of time to trade the gamma. Main trade yesterday was continued selling of calls (RXM8 159.50 calls sold at 31-28 x7k & RXM8 158.50 calls sold at 52 x5k  )

Bobl: not much to report in terms of vol, it did track RX lower but there wasn’t as much conviction in the day’s trades. Worth noting that OEM8 had a 37 tick range and the gamma rent is 11 ticks so again MM had a decent day on the gamma hedge.

Sterling: a weak UK Services PMI (52.8 vs 53.5 cons) appears to be the final nail in a May rate hike’s coffin; we are seeing paper move further down the curve looking for unchanged rates for the rest of the year & targeting the 9937.5 strike (L Z8 9925/9937.5/9950 call fly bgt for 1.85ish x 5k – adding to 15k long position) recall earlier in the week we saw  L Q8 & L U8 9925/37 1×2 CS strip bot x 31k.

Most Actives since Apr-23 (post Carney repricing)

Euribor: Not much to report although contacts noted an ongoing  short cover in ERH9 100.00 puts bgt for 0.7ish x 7k -20k over last 2 days

Trade Recap:


RXM8 159.50 calls sold at 31-28 x 7k from 159.12 to 159.18 vols to 2.9%

RXM8 158.50/157.00 put spread bgt for 16 x 4k

RXM8 158.50 puts bgt for 18/19 cx 5.25k ref 159.3

RXM8 158.50 calls sold at 52 in 5k ref 158.55 …Synth selling 99 in straddle ,vol 3.2 Pvol

RXN8 158.00/157.00/155.50/154.00  put condor vs RXN8 160/161 c/s bgt for 3 x 2.5k


OEM8 130.75/130.25 1 by 2 p/s sold at 2.5 x 3k

OEM8 131.00/129p/s sold at 7 x 6k

OEM8 131.25 calls sold at 11 x 6.7k

OEM8 133 calls bgt for 0.5 x 5k


DUM8 111.90 calls sold at 4.5 x 4k to buy OEM 131 calls for 23 x 1.5k


L K8/L M8 99.125 put calendar bgt for 0.5 x 5k ( + L M8)

L K8 99.25 puts bgt for 1.5 x 5k

L K8 99.125/99.25 RR sold at 2.5 x 10k ( -c+p) ref 99.265

L N8 99.125/99.25 1 by 2 c/s bgt for 4 x 5.5k  ….Adding ,bgt for 4 in 19.5k on Tuesday

L N8 99.25 calls sold at 1.5 x 11k

L Q8/L U8 99.25/99.375 1 by 2 c/s strip (2 *Aug + 1* Sep ) bgt for 7.5 x 2k

L U8 99.125/99.375 strangle bgt for 5 x 5k

L Z8 99.25/99.375/99.50 call fly bgt for 1.85ish x 5k ….. Adding , this has been bgt from 1.6 to 1.85 this week in 20k

L Z8 99.125/99.25/99.375 call fly bgt for 2.5 x 10k – New Risk

2LM8 98.25 puts bgt for 0.5 x 15k

2LQ8 98.50/98.25/98.125 brkn pfly bgt for 4.5 x 5k


ERZ9 100.00/100.125 c/s vs ERH0 99.625 puts bgt for 1.5 x 2k ( + ERH puts) …adding paid 2.5 y’day

ERH9 100.00 puts bgt for 0.7ish x 7k …20k over last 2 days –short covering

ERM9 100.25/100.375 c/s vs 100 puts bgt for 1.5 x 6.5k (+c/s)

3RM8 99.50/99.625 1 by 2 c/s sold at 0.75 x 3k