Implied option volatilities have fallen to fresh intra-day lows ahead of the looming 16:00GMT London fix. The 1-mth is now 6.45 pct offered, having been bid at that level earlier today.
In the mid-dates: the 2-mth and 3-mth have respectively gone 6.4 pct and 6.35 pct bid-to-offered through today's European session. At the back of the curve: the 1-year resides just above last week's lifetime traded low of 6.55 pct (Jan 10). The period is presently 6.65 pct offered.
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