As Hedging Slips, Swaption Volatility Slides
Volatility on the three-month options called 3m10y swaptions has settled at 123.45 points, its lowest level since May 27. “We likely got a fair amount of hedging when the 10-year bond yield went up through 4%, and now we don’t have that,” explained CharlesDiebel, head of European ...
Please take a trial or subscribe to access this content.
Contact our subscriptions team to discuss your access: firstname.lastname@example.org