As Hedging Slips, Swaption Volatility Slides

02 Jul 2008

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 ...

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