European open · Monday Sep 21

$Eurex / Euro Stoxx 50: front vol bid, backwardation showing. Dealer hedging drives the near leg.
$LSE / FTSE 100: implied vol at the floor, gamma negative. Quiet surface, fragile underneath.

#volatility #derivatives #quant

European open · Wednesday Sep 16

$Eurex / Euro Stoxx: gamma negative, curve inverted. Dealers are not cushioning here.
$S&P Europe 350: dealers short the near leg, backwardation widening. Stress signal.

#volatility #derivatives #quant

EU session read · Monday Sep 14

$Eurex / Euro Stoxx 50: gamma negative, curve inverted. Dealers are not cushioning here.
$SIX / SMI: short gamma regime with backwardation. Front-month tension visible.

#volatility #derivatives #quant

EU session read · Tuesday Sep 8

$Eurex / Euro Stoxx: backwardation, front vol trades above the back. Dealers adjusting near term.
$S&P Europe 350: gamma negative, curve inverted. Dealers are not cushioning here.

#volatility #derivatives #quant

EU session read · Monday Sep 7 (data as of Sep 4 close)

$Eurex / Euro Stoxx 50: backwardation, front vol trades above the back. Dealers adjusting near term.
$FTSE Europe: implied vol at the floor, gamma negative. Quiet surface, fragile underneath.

#volatility #derivatives #quant