The Options Insider Radio Network The European Market Brief 20: Grappling With Short-Term Interest Rates
Mar 18, 2026
Andreas Stillert, Eurex STIR product lead, explains Europe’s dual-rate system in bite-sized terms. Dan Collins, Aurel rates head, brings market-structure and trading-flow perspective. They discuss the sudden pivot from priced cuts to possible hikes, the dramatic options skew flip from calls to puts, and how geopolitics and oil are stoking inflation and volatility.
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Europe Maintains Dual Short Rate System
- Europe runs a dual short-rate system with unsecured ESTR and legacy EURIBOR futures coexisting.
- Andreas Stillert explains ESTR mirrors SOFR but is unsecured overnight while EURIBOR remains dominant in legacy contracts, creating ongoing basis opportunities.
Options Skew Reversed Rapidly This Month
- Options skew in Europe flipped rapidly from call-heavy to put-heavy as markets repriced policy risk.
- Dan Collins highlights that within weeks volatility blew out and skew reversed, reflecting sudden shift from cut to potential hike pricing.
Markets Pivoted From Cuts To Hikes Fast
- The market moved from pricing cuts to pricing hikes after Middle East turmoil and oil spiked above $100.
- Andreas Stillert notes futures now imply ~100% chance of at least one ECB hike by July and ~30% chance of a 50bp move by September.