Welcome to another big interesting trades post.
Today we want to highlight how bid offer spreads in EUR Libor swaps have come down over the last month. From a peak of 2.6bps bid offer in July down all the way to 1.8bps. We think this is an interesting dynamic during the summer period, especially as volumes have also come down over the same period. Perhaps the market is regaining some confidence in terms of liquidity and short term volatility.
What is also interesting to note is that the top swaptions trades for the last few weeks have been 5y-30y and 3y-30y receiver trades that printed. 30y spot still the popular place to play, but swaptions expiries have been focused on 3y and 5y space compared to longer swaption expiries being traded in July.
Month end July was a busy time for many of our clients. We look forward to adding more functionality that will help make IPV and risk jobs easier and smoother.
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 | 5 | 30 | a-63bps | 80 - 120 | RECEIVER | 79.04 | 157,950 | 399 | PV-Data |
| 1 | 3 | 30 | a-7bps | 80 - 120 | RECEIVER | 86.65 | 129,668 | 498 | PV-Data |
| 2 | 3 | 30 | a-7bps | 80 - 120 | RECEIVER | 86.65 | 129,668 | 498 | PV-Data |
| 3 | 3 | 30 | a-7bps | 80 - 120 | PAYER | 76.04 | 129,622 | 567 | PV-Data |
| 4 | 3 | 30 | a-7bps | 80 - 120 | PAYER | 76.04 | 129,622 | 567 | PV-Data |
| 5 | 7 | 20 | a+21bps | 60 - 90 | PAYER | 154.76 | 115,512 | 107 | PV-Data |
| 6 | 7 | 20 | a+21bps | 60 - 90 | RECEIVER | 134.64 | 115,463 | 122 | PV-Data |
| 7 | 10 | 10 | a+68bps | 80 - 120 | PAYER | 165.25 | 112,880 | 68 | 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 | 3m | 30 | a-11bps | 95 - 145 | PAYER | 67.37 | 38,327 | 2,416 | PV-Data |
| 1 | 1m | 30 | a-16bps | 80 - 120 | STRADDLE | 88.02 | 32,984 | 2,281 | PV-Data |
| 2 | 3m | 10 | a+8bps | 135 - 205 | PAYER | 54.59 | 26,224 | 1,867 | PV-Data |
| 3 | 3m | 10 | a+9bps | 135 - 205 | PAYER | 57.55 | 25,936 | 1,751 | PV-Data |
| 4 | 3m | 10 | a+12bps | 135 - 205 | PAYER | 61.74 | 25,273 | 1,590 | PV-Data |
| 5 | 3m | 10 | a+18bps | 135 - 205 | PAYER | 70.27 | 21,515 | 1,434 | PV-Data |
| 6 | 3m | 30 | a-11bps | 95 - 145 | RECEIVER | 128.43 | 40,032 | 1,324 | PV-Data |
| 7 | 1m | 30 | a-6bps | 80 - 120 | PAYER | 192.62 | 20,822 | 1,274 | 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-0bps | 135 - 205 | PAYER | 30.68 | 27,216 | 3,522 | PV-Data |
| 1 | 3m | 10 | a+1bps | 135 - 205 | PAYER | 34.33 | 27,142 | 3,139 | PV-Data |
| 2 | 1y | 10 | a-31bps | 120 - 180 | PAYER | 47.69 | 38,623 | 808 | PV-Data |
| 3 | 5y | 5 | a-39bps | 190 - 290 | RECEIVER | 26.77 | 78,199 | 574 | PV-Data |
| 4 | 5y | 5 | a-39bps | 190 - 290 | RECEIVER | 26.77 | 78,199 | 574 | PV-Data |