An extremely eventful week for markets, especially ahead of month-end and quarter-end. News around SVB, CS and US regional banks have meant a big influx in data enquiries, especially as clients look for bid/offer spreads and confirmed trades data.
Due to requests we have also done a deep dive into bid/offer spreads change month on month, especially on exotics. If you are a beta user, this data is already available on the dashboard, please reach out to us for further details or bespoke work. We'll summarise our findings in another blog post for our readers as well.
Below are the top usd ois swaption trades for the last two weeks:
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 | 20 | a+104bps | 80 - 120 | PAYER | 158.29 | 209,051 | 132 | PV-Data |
| 1 | 10 | 20 | a+104bps | 80 - 120 | RECEIVER | 71.62 | 192,155 | 268 | PV-Data |
| 2 | 3 | 30 | a+94bps | 95 - 145 | PAYER | 137.77 | 159,049 | 384 | PV-Data |
| 3 | 3 | 30 | a-13bps | 90 - 130 | PAYER | 73.22 | 150,041 | 682 | PV-Data |
| 4 | 3 | 30 | a-13bps | 70 - 105 | RECEIVER | 92.27 | 118,904 | 429 | PV-Data |
| 5 | 3 | 30 | a+137bps | 95 - 145 | PAYER | 88.53 | 110,544 | 416 | PV-Data |
| 6 | 7 | 20 | a-134bps | 75 - 115 | RECEIVER | 55.38 | 105,268 | 272 | PV-Data |
| 7 | 7 | 20 | a-134bps | 75 - 115 | RECEIVER | 55.2 | 104,956 | 272 | 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 | 80 - 120 | RECEIVER | 71.33 | 21,737 | 3,478 | PV-Data |
| 1 | 1m | 30 | a+7bps | 80 - 120 | RECEIVER | 71.33 | 21,737 | 3,478 | PV-Data |
| 2 | 1m | 30 | a+3bps | 80 - 120 | PAYER | 78.74 | 22,685 | 3,189 | PV-Data |
| 3 | 1m | 30 | a+3bps | 80 - 120 | PAYER | 78.74 | 22,685 | 3,189 | PV-Data |
| 4 | 1m | 30 | a-2bps | 95 - 145 | PAYER | 93.83 | 31,861 | 2,953 | PV-Data |
| 5 | 1m | 10 | a-4bps | 135 - 205 | PAYER | 55.68 | 18,471 | 2,885 | PV-Data |
| 6 | 1m | 10 | a+4bps | 135 - 205 | PAYER | 76.68 | 15,389 | 2,528 | PV-Data |
| 7 | 1m | 30 | a-11bps | 95 - 145 | PAYER | 146.47 | 26,677 | 2,016 | 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 | 3m | 10 | a-4bps | 135 - 205 | PAYER | 30.82 | 27,312 | 3,480 | PV-Data |
| 1 | 3y | 30 | a-56bps | 95 - 145 | RECEIVER | 45.02 | 132,945 | 982 | PV-Data |
| 2 | 6m | 2 | a+18bps | 370 - 550 | PAYER | 49.38 | 21,271 | 846 | PV-Data |
| 3 | 5y | 5 | a+10bps | 80 - 120 | STRADDLE | 11.84 | 74,996 | 622 | PV-Data |
| 4 | 7y | 20 | a+66bps | 55 - 80 | RECEIVER | 27.56 | 74,304 | 385 | PV-Data |