#Swaption
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identitypollution.bsky.social
~1 hour till we go live in the Sinsmas Zone (stream via twitch 🔗 in bio)!

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Sinsmas miracle swaption exclusive to watchers to swap a pull with whatever the current "open" pin is! 🎄🎁
December 18, 2024 at 7:48 PM
sky.skymarchini.net
calm before the storm www.apolloacademy.com/swaption-vol...
Swaption Volatility Remains Remarkably Low Despite Ongoing Fed Debate - Apollo Academy
Swaption volatility remains very low despite significant debate about what the Fed will do at its next meeting, see chart...
www.apolloacademy.com
December 3, 2025 at 3:42 PM
deus01.bsky.social
It just gave me the ACM value which is published and then said "I could do some other stuff with forwards and swaption vols" but it won't do it for me (no one wants to work anymore)
September 25, 2026 at 4:48 PM
deus01.bsky.social
I asked opus too but it doesn't have swaption vols so can't do it
September 25, 2026 at 4:31 PM
peark.es
Last one - swaption prices (bps cost in fixed leg terms for a 3m options to pay 10y swaps)
Cost (in bps) of a 3m term option on a 10y swap, since 2011
January 13, 2025 at 2:46 PM
augurinfinity.bsky.social
Treasury market functioning indicators deteriorated today:
– Our Treasury dislocation index rose; i.e., Treasuries are deviating from fair values
– Treasury futures richened against cash bonds
– Swap spreads tightened; i.e., cash bonds cheapened against swaps
– Swaption implied volatilities rose.
April 11, 2025 at 2:09 AM
deus01.bsky.social
The call option on a 30y rate is worth a lot though. You can price the Swaption in swpm (the amortization is a pain to enter)
January 11, 2026 at 11:42 PM
columnist.bsky.social
Yes…there’s a lot of here is this incredibly complex (clever) thing which basically amounts to you selling a swaption at the wrong price…
March 12, 2026 at 1:53 PM
globaladvisors.bsky.social
Term: #Swaption - https://with.ga/f3k7p
"A swaption (swap option) is an #OverTheCounter financial #Derivative that grants the holder the right-but not the obligation-to enter into an underlying #Interest rate swap on a specified future date. It is essentially an option on a swap." - Swaption...
June 12, 2026 at 4:20 PM
marcwilson1000.bsky.social
Term: #Swaption - https://with.ga/f3k7p
"A swaption (swap option) is an #OverTheCounter financial #Derivative that grants the holder the right-but not the obligation-to enter into an underlying #Interest rate swap on a specified future date. It is essentially an option on a swap." - Swaption...
June 12, 2026 at 4:20 PM
marcwilson1000.bsky.social
Term: #Swaption - https://with.ga/f3k7p
"A swaption (swap option) is an #OverTheCounter financial #Derivative that grants the holder the right-but not the obligation-to enter into an underlying #Interest rate swap on a specified future date. It is essentially an option on a swap." - Swaption...
May 17, 2026 at 9:30 AM
globaladvisors.bsky.social
Term: #Swaption - https://with.ga/f3k7p
"A swaption (swap option) is an #OverTheCounter financial #Derivative that grants the holder the right-but not the obligation-to enter into an underlying #Interest rate swap on a specified future date. It is essentially an option on a swap." - Swaption...
May 17, 2026 at 9:30 AM
deus01.bsky.social
short expiry swaption vol has blown out too which is consistent with this
March 13, 2026 at 5:34 PM
augurinfinity.bsky.social
Treasury market functioning indicators deteriorated again:
– Our Treasury dislocation index rose; i.e., Treasuries are deviating from fair values
– Treasury futures richened against cash bonds
– Swap spreads tightened; i.e., cash bonds cheapened against swaps
– Swaption implied volatilities rose.
April 22, 2025 at 2:06 AM
macronin1.bsky.social
Worried they’re gonna name a bond after Healey, too. The 🔥’em in payer swaption format.
July 20, 2026 at 8:49 PM
huntthesnark.bsky.social
My personal soapbox on this is you eliminate the prepayment option, make loans where the rate floats but the monthly payments are fixed, and interest-rate fluctuations extend or shorten the maturity, up to a maximum. So, basically, embed a cap rather than a Bermudan swaption. But anyway.
November 11, 2025 at 12:00 AM
vkmacro.bsky.social
Yep good one will add - so my radar is basically:

Swaption vol
TY option skew
Swap spreads
5y5y infl swaps
30y tips yield
May 21, 2025 at 12:15 PM
vkmacro.bsky.social
For sure - we know there’s “something” priced, but looking at both both TLT or 6m10y swaption vol it’s hard see it. Unless vol isn’t the right measure to use, which could also be true
May 21, 2025 at 12:03 PM
jeroenvanh.bsky.social
Ik zou persoonlijk een swaption op een rentecap hebben genomen, maar ja, dat ben ik. Welk rentederivaat past bij jou?
October 11, 2023 at 8:33 PM
richardaiguy.bsky.social
We should have done some sort of swaption. The ACC should have got Maryland back and Indiana.

The Big-10 should have taken Cal and Stanford. They fit better, play wise and academically and the travel would have been a *little bit* better for those schools in this awful realignment clusterfuck.
November 26, 2023 at 7:14 AM
epsteinweb.bsky.social
EFTA01533142.jpg
#epsteinweb #efta01533142
https://epsteinweb.org
Available in the iOS app store now!
https://apps.apple.com/us/app/epstein-web/id6758880661
EFTA01533086 | EFTA01533142 FINANCIAL TRUST COMPANY INC ACCT. W23560001 For the Period 5/1/10 to 5/31/10 Trade Date Settlement Date 5/5 Type Settled Securities Purchased 4/29 Purchase Description PAA NATURAL GAS STORAGE LP @ 21.50 J.P. MORGAN SECURITIES INC. TRADE DATE 04/29/10 4/30 5/5 Purchase Option 1 PAYER SWAPTION CALL 10,000,000 INTEREST RATE SWAP STRIKE 4.35% S 30/360 VS. 3ML EXP DATE 05/28/2010 DEAL 5163368 PURCHASE OTC CALL NEW SWAPTION DEAL # 5163368 TRADE DATE 04/30/10 4/30 5/5 Write Option 1 RECEIVER SWAPTION CALL 10,000,000 INTEREST RATE SWAP STRIKE 4.25% S 30/360 VS 3ML EXP DATE 05/28/2010 DEAL 5163369 WRITTEN OTC CALL NEW SWAPTION DEAL # 5163369 TRADE DATE 04/30/10 5/5 5/7 Write Option BRL PUT USD CALL FX EUROPEAN STYLE OPTION JUN 04, 2010 @ 1.8 KI @ 1.92 WRITTEN FX OPTION PUT 18,000,000.00 BRL CALL 10,000,000.00 USD TRADE DATE 05/05/10 5/4 5/7 Purchase KINDER MORGAN ENERGY PARTNERSHIP L P EFTA01533142
February 28, 2026 at 1:10 PM
epsteinweb.bsky.social
EFTA01489633.jpg
#epsteinweb #efta01489633
https://epsteinweb.org
EFTA01489633 | EFTA01489633 J.P.Morgan FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 Trade Date Estimated Settlement Date Type Description Quantity Per Unit Amman Proceeds Tax Coat Realized Gain/Loss (1,140,500.00) 136,000.00 (1.004,500.00) S Pending Sales, Maturities, Redemptions 6/30 7/2 Option Buyback 1 RECEIVER SWAPTION CALL 10,000,000 INTEREST RATE SWAP STRIKE 4.35% S 30/360 VS. 3ML EXP DATE 06/3012010 DEAL 5161946 Trade Date Estimated Settlement Date Type Description 1.000 Quantity Per Unit Amount Market Cost 1,000,000.000 105.25 (1,052.500.00) Pending Securities Purchased 6/28 7/1 Purchase FELCOR LODGING LP 10% OCT 01 2014 DTD 10/012009 6/30 7/2 Write Option 1 RECEIVER SWAPTION CALL 10,000,000 INTEREST RATE SWAP STRIKE 4.35% S 30/360 VS 3ML EXP DATE 08131/2010 DEAL 5167546 Total Pending Securities Purchased (1.000) 1,103,500.00 $61,000.00 Page 32 of 52 Confidential Treatment Requested by JPMorgan Chase CONFIDENTIAL JPN1-SDNY-000 11745 SDNY_GM_00280943 EFTA01489633
February 22, 2026 at 5:37 PM
epsteinweb.bsky.social
EFTA01533248.jpg
#epsteinweb #efta01533248
https://epsteinweb.org
Available in the iOS app store now!
https://apps.apple.com/us/app/epstein-web/id6758880661
EFTA01533185 | EFTA01533248 4/22 5/24 Write Option 1 RECEIVER SWAPTION CALL 10,000,000 INTEREST RATE SWAP STRIKE 4.35% S 30/360 VS 3ML EXP DATE 05/24/2010 DEAL 5163005 WRITTEN OTC CALL TRADE DATE 04/22/10 AS OF 04/26/10 Page 34 of 54 (1.000) 80,000.00 80,000.00 * 20,000.000 4.60 (92,000.00) 13,000.000 22.07 (286,910.00) 4,250.000 56.55 (240,337.50) 10,000.000 22.00 (220,000.00) 3,000.000 8.00 (24,000.00) Quantity 5,500.000 Per Unit Amount 11.50 Market Cost (63,250.00) EFTA01533248 Epstein Web iOS app on the App Store.
February 28, 2026 at 1:15 PM
epsteinweb.bsky.social
EFTA01533239.jpg
#epsteinweb #efta01533239
https://epsteinweb.org
Available in the iOS app store now!
https://apps.apple.com/us/app/epstein-web/id6758880661
EFTA01533185 | EFTA01533239 FINANCIAL TRUST COMPANY INC ACCT. W23560001 For the Period 5/1/10 to 5/31/10 Trade Date 5/28 Settlement Date 5/28 Type Settled Sales/Maturities/Redemptions Expired Option Description 1 PAYER SWAPTION CALL 10,000,000 INTEREST RATE SWAP STRIKE 4.35% S 30/360 VS. 3ML EXP DATE 05/28/2010 DEAL 5163368 EXPIRATION OF PURCHASED OTC CALL Total Settled Sales/Maturities/Redemptions $17,439,823.52 ($17,169,700.00) $677,462.77 S ($364,000.00) C Trade Date Settlement Date 5/3 Type Settled Securities Purchased 4/27 Purchase Description APOLLO INVESTMENT CORP @ 12.40 J.P. MORGAN SECURITIES INC. TRADE DATE 04/27/10 4/28 5/4 Purchase KANSAS CITY SOUTHERN INDUSTRIES INC @ 39.00 J.P. MORGAN SECURITIES INC. TRADE DATE 04/28/10 4/28 5/4 Purchase SYNOVUS FINANCIAL CORP @ 2.75 J.P. MORGAN SECURITIES INC. TRADE DATE 04/28/10 4/29 EFTA01533239
February 28, 2026 at 1:14 PM
epsteinweb.bsky.social
EFTA01536571.jpg
#epsteinweb #efta01536571
https://epsteinweb.org
Available in the iOS app store now!
https://apps.apple.com/us/app/epstein-web/id6758880661
EFTA01536515 | EFTA01536571 FINANCIAL TRUST COMPANY INC ACCT. For the Period 6/1/10 to 6/30/10 Trade Date 6/30 Estimated Settlement Date 7/2 Type Pending Sales, Maturities, Redemptions Option Buyback Description 1 RECEIVER SWAPTION CALL 10,000,000 INTEREST RATE SWAP STRIKE 4.35% S 30/360 VS. 3ML EXP DATE 06/30/2010 DEAL 5161946 Quantity 1.000 Per Unit Amount Proceeds (1,140,500 00) Tax Cost 136,000.00 Realized Gain/Loss (1,004,500.00) S Trade Date Estimated Settlement Date 7/1 7/2 Type Description Pending Securities Purchased 6/28 6/30 Purchase Write Option FELCOR LODGING LP 10% OCT 01 2014 DTD 10/01/2009 1 RECEIVER SWAPTION CALL 10,000,000 INTEREST RATE SWAP STRIKE 4.35% S 30/360 VS 3ML EXP DATE 08/31/2010 DEAL 5167546 Total Pending Securities Purchased $51,000.00 EFTA01536571
February 28, 2026 at 3:53 PM