Swaptions are over-the-counter contracts and are not standardized, like equity options or futures contracts. Thus, the buyer and seller need to both agree to the price of the swaption, the time ...

EGF - AAA Fund With Overwritten Swaptions Jan. 03, 2023 8:46 PM ET BlackRock Enhanced Government Fund Inc. (EGF) AGG , BKT , EDV , EGF 1 Comment 1 Like Binary Tree Analytics ...

The normalized implied volatility for options expiring in three-months on ten-year euro interest rate swaps, known as 3m10y swaptions, has slid to an annualized 56 basis points from 67 basis ...

The Simplify Bond Bull leverages long-duration assets and swaptions to protect against economic downturns and sudden interest rate declines. Learn more on RFIX ETF here.

The gross notional outstanding of CDS index swaptions is currently $373bn, according to the DTCC, though the figure varies week to week depending on expiration dates of the contracts.

The so-called two-year swaptions climbed above the longer tenor in 2016, when the BOJ surprised markets with the introduction of its negative interest-rate policy.

Interest rate options have started a voluntary shift onto electronic platforms as Garda Capital Partners completed the first fully electronic swaption trade on Tradeweb's swap execution facility.

The swaptions market is not new to pricing issues. When European rates plunged into negative territory in 2012, the SABR models used to price swaptions started producing nonsensical values – a ...

Swaps/swaptions ≥ 1-year saw strong increases in risk trading activity YoY driven by market volatility due to changes in U.S. tariff policy and an active Treasury yield curve.

Swaps/swaptions ≥ 1-year ADV was up 22.6% YoY to $410.4bn and total rates derivatives ADV was up 34.5% YoY to $690.3bn. Strong swaps/swaptions ≥ 1-year activity was driven by healthy risk ...

Roula Khalaf, Editor of the FT, selects her favourite stories in this weekly newsletter. We know that trading in CDS index options is getting bigger and bigger. Investors want to bet on volatility ...