Just past April month-end now, and things are a little bit back to normal - vols back down a bit, liquidity ratio is better and bid/offer spreads calmed down again.
Seems that trade size by risk is still smaller than end of March and short dated payer/gamma plays are showing up again.
Check out our new bid/offer index PVBOI and liquidity index PVLIT, here we show how 10y OIS swaps bid offer spreads have come all the way back down using our custom in house B/O index algorithm. Clients are using this to check month end marks and bid/offer reserves as well as part of a dashboard for traded risk.
| Expiry (Yrs) | Tenor (Yrs) | Moneyness (bps) | Trade Size (US$ mm) | Option Type | Normal Vol Implied (bps) | Vega (US$) | Gamma (US$) | Deep Dive | |
|---|---|---|---|---|---|---|---|---|---|
| 0 | 10 | 10 | a+69bps | 105 - 155 | PAYER | 171.99 | 141,213 | 82 | PV-Data |
| 1 | 10 | 10 | a+69bps | 105 - 155 | RECEIVER | 116.4 | 139,864 | 120 | PV-Data |
| 2 | 5 | 10 | a-35bps | 135 - 205 | RECEIVER | 203.43 | 126,108 | 124 | PV-Data |
| 3 | 5 | 10 | a-35bps | 135 - 205 | PAYER | 164.41 | 125,920 | 153 | PV-Data |
| 4 | 2 | 30 | a+42bps | 95 - 145 | PAYER | 59.81 | 124,228 | 1,035 | PV-Data |
| 5 | 2 | 30 | a+42bps | 95 - 145 | PAYER | 59.81 | 124,228 | 1,035 | PV-Data |
| 6 | 2 | 30 | a+42bps | 95 - 145 | PAYER | 59.81 | 124,228 | 1,035 | PV-Data |
| 7 | 10 | 10 | a-153bps | 120 - 180 | RECEIVER | 62.64 | 121,063 | 193 | 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-8bps | 95 - 145 | PAYER | 56.33 | 25,770 | 4,774 | PV-Data |
| 1 | 1m | 30 | a-8bps | 95 - 145 | PAYER | 56.33 | 25,770 | 4,774 | PV-Data |
| 2 | 1m | 30 | a-8bps | 95 - 145 | PAYER | 56.33 | 25,770 | 4,774 | PV-Data |
| 3 | 1m | 30 | a-8bps | 95 - 145 | PAYER | 56.33 | 25,770 | 4,774 | PV-Data |
| 4 | 1m | 30 | a-8bps | 95 - 145 | PAYER | 56.33 | 25,770 | 4,774 | PV-Data |
| 5 | 1m | 30 | a-8bps | 90 - 130 | PAYER | 56.33 | 23,623 | 4,376 | PV-Data |
| 6 | 1m | 30 | a-8bps | 90 - 130 | PAYER | 56.33 | 23,623 | 4,376 | PV-Data |
| 7 | 1m | 30 | a-8bps | 80 - 120 | PAYER | 56.33 | 21,475 | 3,978 | 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 | 4m | 5 | a-2bps | 80 - 120 | PAYER | 23.54 | 9,833 | 1,315 | PV-Data |
| 1 | 2y | 2 | a-77bps | 160 - 240 | PAYER | 30.11 | 3,785 | 67 | PV-Data |
| 2 | 6m | 2 | a-49bps | 45 - 70 | PAYER | 46.96 | 1,077 | 45 | PV-Data |
| 3 | 6m | 10 | a-43bps | 40 - 60 | RECEIVER | 16.68 | 42 | 5 | PV-Data |
| 4 | 6m | 10 | a-43bps | 40 - 60 | PAYER | -17.07 | 60 | -7 | PV-Data |