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Fixed Income Highlights – August 2020 edition

Release date: 11 Aug 2020 | Eurex Exchange

Fixed Income Highlights – August 2020 edition

Market briefing

Overall, July has been somewhat of a quiet month across the board. However, there have been a few bright spots within the product portfolio, namely Schatz futures and options (F&O), where we have seen continued volume growth of +14.1% and 128.5%, respectively. This has largely been underpinned from volumes in the top left of the OTC volatility grid, which has seen renewed interest in the swaptions space. A theme that has been evident in OTC markets has been the distortion in volatility flies and firming of 3y2y as fast money unwound short caps/floor positions. Options on Italian BTP's were well supported with a 26.7% increase in volumes and weekly options on bunds saw a 29.8% increase in volumes. Volatility in bunds remained under pressure and traded in a tight range for most of July, between 4.2% - 5.8%.

Looking ahead to the rest of the summer, Eurex aims to launch Options on Buxl futures. This a product that the team is excited about and will support volumes in the underlying futures. From a product portfolio perspective, this is a welcome addition to core German benchmarks, providing end clients with a new tool for hedging and risk management purposes, portfolio overlays and expressing directional views.

Lee Bartholomew, Head of Fixed Income Product R&D, Eurex

Facts& figures


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