This blog covers USD Options markets in Q3 – so please note that is before the election result! This is the latest in a series of blogs covering Swaptions: Q3 2024 was a characterised by huge volumes in underlying Swaps, with notable activity in August. There was also a lot of activity tied to changes […]

June 2024 saw the largest number of EUR Swaptions reported to SDRs in the past three years: Showing; My interest in EUR Swaptions was sparked by a recent Risk.net article; I’m not sure our data shows much support for the idea that it was straddles specifically that led to a spike in volumes. Further complicating […]

This blog follows on from the interesting activity we have seen across Options markets so far this year. Take a look if you have missed anything: I have written previous Swaption reviews after large, directional moves in Rates. Q2 2024 was a little bit different, although it would still be characterised as a “volatile” quarter. […]

Time to update and revisit one of our most interesting 2023 blogs – Swaptions: Swaptions showcase a different use case for SDR data, and highlight why data augmentation is necessary. Straddles Are Back! My previous look at 2023 trade counts highlighted: As soon as we noticed this, we set our sights on identifying Straddles again […]

More than six months have passed since I last looked at the most active names in CDS and TRS, so high time to take a look at recent data from US SEC Securities Based Data Repositorys (SBSDRs). CDS on Sovereigns Using SBSDRView, we can find the most active sovereigns for CDS trades in April 2024. The above list was a […]

Back in June 2023, I covered the new block sizes that were due to come into effect on 4th December 2023. In case you missed them, please take a look before reading today’s blog: However – in what appears to be new news – the CFTC issued a No Action letter late in October to […]

Analysing existing datasets in new and novel ways, often throws up interesting insights and questions which help with our understanding of the real world and in turn help us to make better decisions. Today I wanted to showcase a new feature in SDRView, that demonstrates this, the Ticker Summary View. SDRView has transaction level data […]

I last looked at Term SOFR and BSBY Volumes in May2023, so today I will look at the YTD 2023 data trends for these indices, and as before seperate Term SOFR (published by CME) from Average SOFR (NY Fed). A one-sentence summary is that “Term SOFR Swap volumes are down, though still far higher than Average […]

I last looked at the most active trading names in CDS and TRS in May 2023, so today I will look at August 2023 data from US SEC Securities Based Data Repositorys (SBSDRs). CDS on Sovereigns Using SBSDRView, we can find the most active sovereigns for CDS trades in August 2023. The above list was a […]