Hi!
Things are feeling very very calm. All the pricevault indexes and data signals are pointing to a very liquid market. Bid offer spreads are very well contained and volumes are steady:
Curve is pretty flat from 5y out, trades quantity and notional on par with weekly average since Jan. USD OIS 10y bid offer spreads averaging around 0.5bps these past 1-2 weeks
Seeing some 7y 5y trades print in the last few days as well, didn't see many of these trade before. Worth keeping an eye to see if more market makers require valuations in this space.
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 | 20 | 10 | a-100bps | 135 - 205 | RECEIVER | 85.03 | 243,912 | 143 | PV-Data |
| 1 | 7 | 5 | a+3bps | 190 - 290 | STRADDLE | 85.58 | 239,986 | 201 | PV-Data |
| 2 | 7 | 5 | a+3bps | 190 - 290 | STRADDLE | 85.58 | 239,986 | 201 | PV-Data |
| 3 | 9 | 30 | a-70bps | 80 - 120 | RECEIVER | 168.58 | 212,353 | 140 | PV-Data |
| 4 | 9 | 30 | a-70bps | 80 - 120 | PAYER | 108.99 | 209,520 | 213 | PV-Data |
| 5 | 7 | 30 | a-26bps | 80 - 120 | RECEIVER | 148.72 | 204,085 | 196 | PV-Data |
| 6 | 7 | 30 | a-26bps | 80 - 120 | RECEIVER | 148.72 | 204,085 | 196 | PV-Data |
| 7 | 7 | 30 | a-26bps | 80 - 120 | PAYER | 124.42 | 203,901 | 234 | 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-11bps | 95 - 145 | RECEIVER | 76.71 | 15,032 | 3,977 | PV-Data |
| 1 | 1m | 10 | a+8bps | 135 - 205 | PAYER | 53.87 | 17,431 | 2,814 | PV-Data |
| 2 | 1m | 10 | a+8bps | 135 - 205 | PAYER | 53.87 | 17,431 | 2,814 | PV-Data |
| 3 | 3m | 30 | a+9bps | 80 - 120 | PAYER | 55.94 | 35,943 | 2,551 | PV-Data |
| 4 | 3m | 30 | a-10bps | 95 - 145 | PAYER | 64.48 | 40,812 | 2,513 | PV-Data |
| 5 | 3m | 30 | a-10bps | 95 - 145 | PAYER | 64.48 | 40,812 | 2,513 | PV-Data |
| 6 | 3m | 30 | a-10bps | 95 - 145 | PAYER | 64.48 | 40,812 | 2,513 | PV-Data |
| 7 | 3m | 30 | a-10bps | 95 - 145 | PAYER | 64.48 | 40,812 | 2,513 | 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 | 30 | a+2bps | 95 - 145 | PAYER | 15.28 | 8,373 | 28,599 | PV-Data |
| 1 | 5d | 30 | a-2bps | 95 - 145 | PAYER | 32.24 | 8,940 | 20,255 | PV-Data |
| 2 | 2w | 10 | a+1bps | 120 - 180 | PAYER | 22.36 | 9,406 | 10,975 | PV-Data |
| 3 | 2w | 10 | a+1bps | 120 - 180 | PAYER | 26.26 | 8,240 | 10,420 | PV-Data |
| 4 | 5m | 30 | a-5bps | 80 - 120 | RECEIVER | 27.64 | 44,715 | 4,221 | PV-Data |