EURIBOR
ERM5 options volumes have picked up today, after more subdued activity the prior three sessions. Volumes tilt heavily in favour of calls (~170k at typing versus 73k of puts), with dovish structures particularly prevalent this afternoon. This is potentially in response to the pullback in underlying futures prices (-4.0 ticks today at 97.790) following ECB Executive Board member Schnabel’s hawkish interview with the FT earlier. However, M5 options activity this month has still been notably more moderate than in January.
- Options flow in January saw markets position for a more aggressive ECB easing cycle in Q2, with growth-related tariff concerns in focus following US President Trump’s inauguration. OTM call flys and condors in M5 were particularly popular.
- Between 16-31 Jan, over 400k calls were traded on average per day. In February, average daily call volumes have fallen to 165k. As such, open interest in popular call strikes has visibly flattened out since the start of February (data as of yesterday).
- The M5 call/put ratio has averaged 5x in favour of calls year-to-date. That’s excluding Jan 27, where 143k calls traded against just 1k of puts. Including this session, the ratio increases to 9x.
- Friday’s Eurozone February flash PMIs presents the next key event risk for the EUR short-end.
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