Interesting to see that Jan continues with the same theme - looks like there were axes to trade short-dated payers (all top gamma trades were short dated payers almost all on 10y), compared to the first two weeks of Jan where the interest was still in short payers but more evenly split between 10y and 30y.
Looks like that vols have come down too during the month - at the beginning of Jan, 5y-30y traded at around 80bps for a+20bps vs 72.59bps for a+10bps this week.
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-2bps | 95 - 145 | RECEIVER | 58.23 | 321,001 | 551 | PV-Data |
| 1 | 10 | 30 | a-2bps | 95 - 145 | PAYER | 56.29 | 321,001 | 571 | PV-Data |
| 2 | 10 | 30 | a-2bps | 95 - 145 | PAYER | 56.29 | 321,001 | 571 | PV-Data |
| 3 | 10 | 30 | a-2bps | 95 - 145 | RECEIVER | 58.23 | 321,001 | 551 | PV-Data |
| 4 | 9 | 30 | a-76bps | 95 - 145 | RECEIVER | 97.54 | 296,330 | 331 | PV-Data |
| 5 | 9 | 30 | a-76bps | 95 - 145 | RECEIVER | 97.54 | 296,330 | 331 | PV-Data |
| 6 | 5 | 30 | a+10bps | 95 - 145 | PAYER | 72.59 | 221,897 | 612 | PV-Data |
| 7 | 5 | 30 | a+10bps | 95 - 145 | PAYER | 72.59 | 221,897 | 612 | 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 | 3w | 30 | a+23bps | 95 - 145 | PAYER | 118.33 | 17,525 | 2,352 | PV-Data |
| 1 | 3w | 10 | a+14bps | 135 - 205 | PAYER | 91.31 | 11,316 | 2,155 | PV-Data |
| 2 | 3w | 10 | a+14bps | 135 - 205 | PAYER | 91.31 | 11,316 | 2,155 | PV-Data |
| 3 | 2m | 10 | a+19bps | 135 - 205 | PAYER | 61.56 | 16,701 | 1,708 | PV-Data |
| 4 | 1m | 10 | a+17bps | 135 - 205 | PAYER | 90.06 | 14,301 | 1,706 | PV-Data |
| 5 | 1m | 10 | a+17bps | 135 - 205 | PAYER | 90.06 | 14,301 | 1,706 | PV-Data |
| 6 | 1m | 10 | a+17bps | 135 - 205 | PAYER | 90.06 | 14,301 | 1,706 | PV-Data |
| 7 | 3m | 10 | a+10bps | 135 - 205 | PAYER | 69.25 | 25,103 | 1,697 | 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 | 10 | a+1bps | 135 - 205 | PAYER | 10.46 | 7,808 | 30,302 | PV-Data |
| 1 | 1w | 10 | a+1bps | 135 - 205 | PAYER | 10.46 | 7,809 | 30,292 | PV-Data |
| 2 | 1w | 10 | a+4bps | 135 - 205 | PAYER | 21.35 | 4,593 | 8,730 | PV-Data |
| 3 | 1w | 10 | a+4bps | 135 - 205 | PAYER | 21.35 | 4,593 | 8,730 | PV-Data |
| 4 | 2m | 30 | a-14bps | 80 - 120 | PAYER | 42.11 | 23,062 | 2,858 | PV-Data |