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 242,241.25 929 8.19%
2 JPMorgan 223,842.40 997 7.57%
3 Bank of America Merrill Lynch 216,424.41 725 7.32%
4 Barclays 185,098.93 672 6.26%
5 Goldman Sachs 159,205.64 520 5.38%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 JPMorgan 32,522.19 61 6.53%
2 BNP Paribas 32,284.10 130 6.48%
3 UniCredit 26,992.47 123 5.42%
4 SG Corporate & Investment Banking 26,569.73 97 5.33%
5 Credit Agricole CIB 23,807.36 111 4.78%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Goldman Sachs 10,167.68 46 8.81%
2 JPMorgan 9,894.90 42 8.58%
3 Citi 8,202.25 45 7.11%
4 UBS 6,098.17 23 5.29%
5 Credit Suisse 5,236.02 28 4.54%