Going into month-end always helpful to check what trades are on the radar.
Bid offer spreads have been stable for the past two weeks as well so things seem to have settled down since the SVB and CS blow-ups.
Top Trades by Vega:
| Expiry (Yrs) | Tenor (Yrs) | Moneyness (bps) | Trade Size (US$ mm) | Option Type | Normal Vol Implied (bps) | Vega (US$) | Gamma (US$) | Deep Dive | |
|---|---|---|---|---|---|---|---|---|---|
| 0 | 10 | 30 | a-16bps | 95 - 145 | RECEIVER | 68.33 | 295,817 | 433 | [PV Data](PV-Data |
| 1 | 2 | 30 | a-11bps | 95 - 145 | STRADDLE | 80.22 | 254,183 | 779 | [PV Data](PV-Data |
| 2 | 2 | 30 | a-11bps | 95 - 145 | STRADDLE | 59.18 | 253,245 | 1,052 | [PV Data](PV-Data |
| 3 | 10 | 20 | a-88bps | 80 - 120 | RECEIVER | 57.81 | 177,207 | 306 | [PV Data](PV-Data |
| 4 | 10 | 20 | a+112bps | 80 - 120 | PAYER | 71.41 | 175,772 | 246 | [PV Data](PV-Data |
| 5 | 10 | 30 | a-16bps | 55 - 85 | PAYER | 55.75 | 169,866 | 305 | [PV Data](PV-Data |
| 6 | 3 | 30 | a-7bps | 95 - 145 | RECEIVER | 84.72 | 162,163 | 637 | [PV Data](PV-Data |
| 7 | 3 | 30 | a-7bps | 95 - 145 | PAYER | 74.26 | 162,104 | 727 | [PV Data](PV-Data |
Top trades by Gamma:
| Expiry | Tenor (Yrs) | Moneyness (bps) | Trade Size (US$ mm) | Option Type | Normal Vol Implied (bps) | Vega (US$) | Gamma (US$) | Deep Dive | |
|---|---|---|---|---|---|---|---|---|---|
| 0 | 1m | 30 | a-5bps | 95 - 145 | PAYER | 56.14 | 26,390 | 5,050 | [PV Data](PV-Data |
| 1 | 2m | 30 | a-10bps | 95 - 145 | PAYER | 56.27 | 30,917 | 3,716 | [PV Data](PV-Data |
| 2 | 1m | 30 | a+16bps | 95 - 145 | PAYER | 70.35 | 20,761 | 3,170 | [PV Data](PV-Data |
| 3 | 1d | 30 | a-3bps | 20 - 30 | STRADDLE | 117.5 | 1,689 | 2,624 | [PV Data](PV-Data |
| 4 | 1d | 30 | a-3bps | 20 - 30 | STRADDLE | 120.46 | 1,698 | 2,574 | [PV Data](PV-Data |
| 5 | 1m | 30 | a+20bps | 80 - 120 | PAYER | 71.62 | 14,893 | 2,234 | [PV Data](PV-Data |
| 6 | 3w | 20 | a-9bps | 95 - 145 | RECEIVER | 135.18 | 17,211 | 2,214 | [PV Data](PV-Data |
| 7 | 3m | 10 | a+9bps | 135 - 205 | PAYER | 50.39 | 26,123 | 2,058 | [PV Data](PV-Data |
PVAI Flagged trades:
| Expiry | Tenor (Yrs) | Moneyness (bps) | Trade Size (US$ mm) | Option Type | Normal Vol Implied (bps) | Vega (US$) | Gamma (US$) | Deep Dive | |
|---|---|---|---|---|---|---|---|---|---|
| 0 | 1w | 30 | a-2bps | 40 - 60 | PAYER | 15.29 | 3,415 | 10,198 | [PV Data](PV-Data |
| 1 | 1w | 30 | a+1bps | 40 - 60 | PAYER | 48.22 | 5,780 | 5,473 | [PV Data](PV-Data |
| 2 | 6m | 10 | a-2bps | 135 - 205 | PAYER | 45.31 | 39,914 | 1,730 | [PV Data](PV-Data |
| 3 | 1y | 10 | a-21bps | 135 - 205 | PAYER | 21.03 | 32,779 | 1,655 | [PV Data](PV-Data |
| 4 | 1m | 30 | a-10bps | 20 - 30 | PAYER | 46.42 | 4,725 | 1,093 | [PV Data](PV-Data |