17 June 2015 by lberuti
Today was the third Wednesday of the month. Hence it was the expiry of credit index options maturing in June. It has been advertised as one of the busiest option maturity ever. Indeed, many investors had chosen to express views on the Greek conundrum using this maturity as the beginning of June was seen until recently as the most likely resolution date for the current crisis. That was eventually proven wrong, and the market will have to cope with many more contradicting headlines for a few more sessions or maybe weeks. In any case, a side effect of these earlier optimistic assumptions was the build-up of big positions on the 75bps strike on iTraxx Main and on the 325bps strike on iTraxx Crossover, making the market quite sticky around these levels. That was probably an explanation of the difficulty experienced by the market to widen meaning over the past few sessions. That safety net is now gone, and credit could be a bit more volatile into the second fortnight of June.