Matching the levels we saw at the end of May this year, EDZ skew (synthetic 50 wide Risk Reversal in ticks) closed at -0.029 last night. Again at levels haven’t been seen since 2007. Our low is -0.065 on the 3rd August 2007.
Sterling and Euribor Skew
Sterling almost identical to Eurodollars breaking to a new low, although not as extreme ( only -0.012 ticks). Euribor skew showing little sign of life.
