Bid offer spreads stable this week, 5s and 10s USD OIS swaps trading well within 1bp bid offer on generally higher volumes.
Average daily volume in 10y usd ois stable around USD7-10bn/day, average traded price around 3.2%
liquidity ratio improving to 12, consistent with stable bid offer index on higher volumes:
USD Swaptions data for the past ten days as per below:
Top Trades by Vega. I have to say the gamma trades looks suspiciously like the same trade printed or reported - we will dig into this and come back with conclusions soon.
| Expiry (Yrs) | Tenor (Yrs) | Moneyness (bps) | Trade Size (US$ mm) | Option Type | Normal Vol Implied (bps) | Vega (US$) | Gamma (US$) | Deep Dive | |
|---|---|---|---|---|---|---|---|---|---|
| 0 | 20 | 20 | a-59bps | 50 - 70 | RECEIVER | 126.41 | 161,171 | 64 | PV-Data |
| 1 | 20 | 20 | a-59bps | 50 - 70 | PAYER | 92.85 | 160,415 | 86 | PV-Data |
| 2 | 20 | 20 | a-93bps | 40 - 60 | RECEIVER | 137.03 | 130,013 | 47 | PV-Data |
| 3 | 20 | 20 | a-93bps | 40 - 60 | PAYER | 83.89 | 127,538 | 76 | PV-Data |
| 4 | 6 | 10 | a-201bps | 135 - 205 | RECEIVER | 173.83 | 126,074 | 116 | PV-Data |
| 5 | 2 | 30 | a+78bps | 95 - 145 | PAYER | 151.85 | 120,559 | 435 | PV-Data |
| 6 | 5 | 10 | a+102bps | 135 - 205 | PAYER | 126.04 | 118,879 | 188 | PV-Data |
| 7 | 5 | 10 | a+102bps | 135 - 205 | PAYER | 126.04 | 118,879 | 188 | 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 | 63.85 | 25,424 | 4,155 | PV-Data |
| 1 | 1m | 30 | a-7bps | 95 - 145 | PAYER | 63.85 | 25,424 | 4,155 | PV-Data |
| 2 | 1m | 30 | a-7bps | 95 - 145 | PAYER | 63.85 | 25,424 | 4,155 | PV-Data |
| 3 | 1m | 30 | a-7bps | 95 - 145 | PAYER | 63.85 | 25,424 | 4,155 | PV-Data |
| 4 | 1m | 30 | a-7bps | 95 - 145 | PAYER | 63.85 | 25,424 | 4,155 | PV-Data |
| 5 | 1m | 30 | a-7bps | 95 - 145 | PAYER | 63.85 | 25,424 | 4,155 | PV-Data |
| 6 | 1m | 30 | a-7bps | 95 - 145 | PAYER | 63.85 | 25,424 | 4,155 | PV-Data |
| 7 | 1m | 30 | a-7bps | 95 - 145 | PAYER | 63.85 | 25,424 | 4,155 | 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 | 5 | a-7bps | 190 - 290 | PAYER | 35.34 | 19,716 | 2,168 | PV-Data |
| 1 | 3m | 5 | a-23bps | 190 - 290 | PAYER | 48.83 | 14,070 | 1,144 | PV-Data |
| 2 | 3m | 5 | a-23bps | 190 - 290 | PAYER | 48.83 | 14,070 | 1,144 | PV-Data |
| 3 | 5y | 5 | a-28bps | 190 - 290 | STRADDLE | 14.38 | 145,717 | 965 | PV-Data |
| 4 | 3y | 10 | a-53bps | 135 - 205 | PAYER | 37.92 | 72,788 | 638 | PV-Data |