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
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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 Citi 329,208.56 1277 8.09%
2 JPMorgan 321,584.64 1392 7.90%
3 Bank of America Merrill Lynch 296,878.25 1014 7.29%
4 Barclays 249,463.73 926 6.13%
5 Goldman Sachs 218,838.41 733 5.38%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 BNP Paribas 46,136.68 182 7.00%
2 JPMorgan 44,545.29 93 6.76%
3 UniCredit 35,639.50 153 5.41%
4 Credit Agricole CIB 33,211.72 160 5.04%
5 SG Corporate & Investment Banking 32,419.80 126 4.92%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 JPMorgan 13,755.50 61 8.94%
2 Goldman Sachs 13,469.15 66 8.76%
3 Citi 9,716.40 55 6.32%
4 Morgan Stanley 8,471.86 53 5.51%
5 UBS 8,248.12 34 5.36%