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 ...

Capitolis, the financial technology company, announced today that it has successfully completed its run of multilateral exercises to transition legacy USD LIBOR-referenced swaptions to vanilla SOFR ...

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 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 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 ...

Swaptions are one segment of the roughly $490 trillion over-the-counter interest rate derivatives market. Sign up here. Volatility or "vol" is a key measure of how much risk is perceived, ...

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.

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.

--Capitalab, a division of BGC Brokers LP, an entity within BGC Group, Inc., today announced it has successfully completed its third execution of a new USD LIBOR to SOFR swaption migration service ...

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 ...

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.