Big Interesting Trades 11 Jan - 18 Jan 2022

We try to come up with different ways to make data useful. One of the things that we found helpful for ourselves was to use traded data to look for big interesting trades. For example in interest rate swaptions, we have begun to publish the below internally just to get an idea of the rolling landscape over the past week.

We are also training our AI system so that it can try to identify a weird trade when it comes across one - PVAI is trying to help us flag reported trades which look strange, and we then take a long hard look at those to make sure we understand whether it is an error trade or part of a package.

For example, over the past week we saw the below top trades ranked by US$ vega and gamma in usd interest rate swaptions. Interestingly, there were a bunch of 3m-30y atm+22bps payers that traded.

Would love to hear your thoughts on these trades, and if there are any other visualisations or data tables that would be useful!

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 5 30 a+74bps 95 - 145 PAYER 102.2 221,656 400 PV-Data
1 5 30 a+20bps 95 - 145 PAYER 88.42 198,503 415 PV-Data
2 5 2 a-108bps 370 - 550 STRADDLE 97.05 138,131 142 PV-Data
3 5 2 a-108bps 370 - 550 STRADDLE 97.05 138,131 142 PV-Data
4 2 30 a-3bps 95 - 145 RECEIVER 86.43 124,538 863 PV-Data
5 2 30 a-3bps 95 - 145 PAYER 80.46 124,531 927 PV-Data
6 5 20 a-120bps 80 - 120 RECEIVER 76.01 112,659 297 PV-Data
7 4 10 a+55bps 65 - 95 STRADDLE 88.35 104,622 148 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 10 a+1bps 135 - 205 PAYER 53.33 16,948 3,518 PV-Data
1 4w 10 a+11bps 135 - 205 PAYER 58.61 12,492 2,780 PV-Data
2 1m 10 a-8bps 135 - 205 RECEIVER 77.68 15,804 2,252 PV-Data
3 3m 30 a+22bps 95 - 145 PAYER 129.94 44,158 1,379 PV-Data
4 3m 30 a+22bps 95 - 145 PAYER 129.94 44,158 1,379 PV-Data
5 3m 30 a+23bps 95 - 145 PAYER 131.52 43,712 1,349 PV-Data
6 3m 30 a+42bps 95 - 145 PAYER 126.95 37,455 1,197 PV-Data
7 3m 30 a+42bps 95 - 145 PAYER 126.95 37,455 1,197 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 1m 10 a-2bps 135 - 205 PAYER 32.79 15,494 5,950 PV-Data
1 1w 5 a+87bps 90 - 130 PUT 50.0 0 2,519 PV-Data
2 1w 2 a+9bps 190 - 290 PUT 50.0 0 2,287 PV-Data
3 6m 30 a+1bps 35 - 55 RECEIVER 22.4 24,862 2,240 PV-Data
4 2m 11 a-43bps 55 - 85 CALL 50.0 0 1,176 PV-Data