EURIBOR OPTIONS: ERM7 Option-Implied Dist Has Shifted Hawkish Since Sep 10
Today's aggressive selloff in global rates leaves Euribor futures up to 16.0 ticks lower through the blues. While ERZ7 underperforms across the strip, elevated volumes in ERM7 (-12.0 ticks to 96.445) are also noted. * The ERM7 implied rate is currently 3.555%, up from 3.440% at the September 10 close. * Since the ECB's