Month end is a busy time for us and our clients, but also a fun time.
I always find interesting color from our BIT (big interesting trades) reports. There were clearly large trades in 10y30y during Jan, norm vols cheapened 10bps during the month. For Feb, seems the interest has been in 15y10y, but pop-quiz for our readers: why does the trade report show same strike (a-121bps 15y10y) at such different implied norm vol? Receiver print at 179bps vs Payer print at 99.1bps. We at PV think we have the answer but it's always good to get reader feedback. We'll select an answer at random for an amazon voucher!
Top gamma trades really concentrated on 1m-30y payers last two weeks - as one of our IPV teams pointed out, at the beginning of the month 3w-30y printed at 118bps. Let us know if you need a detailed breakdown and trade audit trail for month-end.
Have a great week ahead.
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 | 15 | 10 | a-121bps | 135 - 205 | RECEIVER | 179.72 | 203,430 | 75 | PV-Data |
| 1 | 15 | 10 | a-121bps | 135 - 205 | PAYER | 99.1 | 196,493 | 132 | PV-Data |
| 2 | 15 | 10 | a-246bps | 135 - 205 | RECEIVER | 92.06 | 162,721 | 118 | PV-Data |
| 3 | 15 | 10 | a-121bps | 80 - 120 | RECEIVER | 179.72 | 119,665 | 44 | PV-Data |
| 4 | 15 | 10 | a-121bps | 80 - 120 | PAYER | 99.1 | 115,584 | 78 | PV-Data |
| 5 | 15 | 10 | a-246bps | 90 - 130 | RECEIVER | 92.06 | 105,290 | 76 | PV-Data |
| 6 | 5 | 5 | a-89bps | 190 - 290 | RECEIVER | 88.89 | 92,069 | 207 | PV-Data |
| 7 | 5 | 5 | a+111bps | 190 - 290 | PAYER | 109.09 | 91,649 | 168 | 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-7bps | 95 - 145 | PAYER | 67.33 | 25,850 | 4,007 | PV-Data |
| 1 | 1m | 30 | a-7bps | 95 - 145 | PAYER | 67.33 | 25,850 | 4,006 | PV-Data |
| 2 | 1m | 30 | a-7bps | 95 - 145 | PAYER | 67.33 | 25,850 | 4,006 | PV-Data |
| 3 | 1m | 30 | a-7bps | 95 - 145 | PAYER | 67.33 | 25,850 | 4,006 | PV-Data |
| 4 | 1m | 30 | a-7bps | 90 - 130 | PAYER | 67.33 | 23,696 | 3,673 | PV-Data |
| 5 | 3m | 30 | a-9bps | 95 - 145 | PAYER | 71.61 | 41,413 | 2,456 | PV-Data |
| 6 | 3m | 30 | a-9bps | 95 - 145 | PAYER | 71.61 | 41,413 | 2,456 | PV-Data |
| 7 | 1m | 30 | a+9bps | 95 - 145 | PAYER | 132.82 | 26,473 | 2,080 | 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 | 15y | 10 | a+4bps | 135 - 205 | PAYER | 44.27 | 206,496 | 311 | PV-Data |
| 1 | 4m | 10 | a+21bps | 20 - 30 | STRADDLE | 48.88 | 6,143 | 203 | PV-Data |
| 2 | 15y | 10 | a+4bps | 90 - 130 | PAYER | 44.27 | 133,615 | 201 | PV-Data |
| 3 | 11m | 25 | a+4bps | 5 - 25 | PAYER | 27.48 | 4,890 | 198 | PV-Data |
| 4 | 11m | 25 | a+4bps | 5 - 25 | PAYER | 27.48 | 4,890 | 198 | PV-Data |