* Once again, vol was lower across the ED complex on below average volume. Front months are at 1 month lows while mid curve buckets are at their lowest levels since early Feb.
* Constant maturity volatilities (30/60/90 day) were lower across the ED strip this week. All front month buckets are at an 8–week low while mids are at lows for the year.
* Vol in the fronts continues to hold up better relative to mids and is at or equal to 6 month highs against mid–curve buckets.
* Put skews outperformed this week however calls (20 & 30 delta) remain rich to puts across the ED strip.
* Volatility was lower for the week on average volume. Vols have fallen to their lowest absolute levels of the year.
* Constant maturity vols (30/60/90 day) were slightly lower across the treasury curve and are also at their lows for the year.
* Put skews (30 & 40 delta) strengthened this week and trades at a premium to calls in every bucket except for FVK.
* ED volatility slightly extended its recent outperformance vs its treasury counterpart and is now at highs for the year in 0EM/TUM, 2EM/FVM and 3EM/TYM.
*Quick Look: May Treasury Option Expiration (4/20)
Strike Total OI p/c Ratio
TYK 120 123.9K 2.6:1 put
TYK 120.5 131.9 1.7:1 put
TYK 121 98.2 2.3:1 call
FVK 113.75 24.9K 3.4:1 put
FVK 114 65.6 1.1:1 put
FVK 114.25 41.0 1.1:1 put
Monday: Retail Sales, Empire Manufacturing
Tuesday: Housing Starts/Permits, Industrial Prod/Cap U,
Fed’s Evans: Econ Outlook (12:10 CT)
Wednesday: Beige Book, Fed’s Dudley: Econ Outlook (7:30CT)
Thursday: Claims, Philly Fed, Leading Indicators
Friday: Fed’s Evans: Outlook (8:40CT)
by Dan Kehoe