Credit Option Vol Slumps

Option-implied credit volatility is following the lead of high-grade and high-yield credit spreads and drawing in to three month lows.

  • 25 Aug 2006
Email a colleague
Request a PDF

Option-implied credit volatility is following the lead of high-grade and high-yield credit spreads and drawing in to three month lows. This is despite the credit markets being hit by economic and political pressures including interest rate uncertainty, political turmoil in the Middle East and high oil prices.

Implied volatility for at-the-money September options on the iTraxx Main dropped 2% last week to 32%, a full 11% tighter than a month ago. Similarly, CDS spreads on the iTraxx traded as low at 27 basis points Friday.

One trader said the dip in volatility had not had a huge impact in the volumes of credit options traded. The growth of the market has been hindered this year by low liquidity (DW, 3/3).

  • 25 Aug 2006

All International Bonds

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 JPMorgan 157,356.37 678 8.16%
2 Citi 152,676.64 610 7.92%
3 Bank of America Merrill Lynch 124,631.28 499 6.47%
4 Barclays 122,825.35 473 6.37%
5 HSBC 99,755.18 499 5.18%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Bank of America Merrill Lynch 12,891.73 34 6.67%
2 BNP Paribas 12,285.93 60 6.36%
3 UniCredit 11,196.47 58 5.79%
4 Citi 9,580.75 37 4.96%
5 Deutsche Bank 8,945.44 35 4.63%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Morgan Stanley 5,248.63 23 10.64%
2 JPMorgan 4,558.16 26 9.24%
3 Goldman Sachs 4,254.47 19 8.62%
4 Citi 3,649.88 23 7.40%
5 UBS 3,602.23 16 7.30%