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
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)
I asked opus too but it doesn't have swaption vols so can't do it
September 25, 2026 at 4:31 PM
I asked opus too but it doesn't have swaption vols so can't do it
Bram Brongers: Improving Swaption Calibration in Factor HJM Stochastic Volatility Models: A First-Order Correction to Frozen Swap-Rate Loadings https://arxiv.org/abs/2608.29423 https://arxiv.org/pdf/2608.29423 https://arxiv.org/html/2608.29423
September 1, 2026 at 7:01 AM
Bram Brongers: Improving Swaption Calibration in Factor HJM Stochastic Volatility Models: A First-Order Correction to Frozen Swap-Rate Loadings https://arxiv.org/abs/2608.29423 https://arxiv.org/pdf/2608.29423 https://arxiv.org/html/2608.29423
als Optionsschein handelbar werden. So könnten ausgeschriebene Suizidale etwa die Prämie kassieren für die Selbsttötung. Oder Resistente kaufen die Prämien-Option ab als Swaption, um zu überleben. Auch Servicetermingeschäfte wären hier denkbar.
Also Ansatz in richtiger Richtung, es fehlt Perfektion.
Also Ansatz in richtiger Richtung, es fehlt Perfektion.
August 25, 2026 at 11:36 AM
als Optionsschein handelbar werden. So könnten ausgeschriebene Suizidale etwa die Prämie kassieren für die Selbsttötung. Oder Resistente kaufen die Prämien-Option ab als Swaption, um zu überleben. Auch Servicetermingeschäfte wären hier denkbar.
Also Ansatz in richtiger Richtung, es fehlt Perfektion.
Also Ansatz in richtiger Richtung, es fehlt Perfektion.
manciata di scrivanie e non risponde ad alcun mandato. Le interpretazioni di ciò che lo skew delle swaption significhi divergono a seconda dell'orizzonte temporale e di ciò che una data istituzione sta coprendo in partenza.
July 27, 2026 at 6:03 PM
manciata di scrivanie e non risponde ad alcun mandato. Le interpretazioni di ciò che lo skew delle swaption significhi divergono a seconda dell'orizzonte temporale e di ciò che una data istituzione sta coprendo in partenza.
Qui il noto e l'ignoto si separano nettamente, e confonderli è l'errore comune. Ciò che è osservabile è la domanda di copertura e lo skew delle opzioni. Ciò che non è osservabile è l'intento: una posizione in swaption può esprimere convinzione sul percorso dei tassi, oppure può
July 27, 2026 at 6:02 PM
Qui il noto e l'ignoto si separano nettamente, e confonderli è l'errore comune. Ciò che è osservabile è la domanda di copertura e lo skew delle opzioni. Ciò che non è osservabile è l'intento: una posizione in swaption può esprimere convinzione sul percorso dei tassi, oppure può
Cosa suggerisce l'attività del mercato obbligazionario", che alcuni dei segnali più netti in vista della riunione di luglio del Federal Open Market Committee non arrivano dai funzionari ma dal mercato delle swaption, dove gli investitori acquistano opzioni su interest rate
July 27, 2026 at 6:02 PM
Cosa suggerisce l'attività del mercato obbligazionario", che alcuni dei segnali più netti in vista della riunione di luglio del Federal Open Market Committee non arrivano dai funzionari ma dal mercato delle swaption, dove gli investitori acquistano opzioni su interest rate
🧵 La Fed entra nel blackout—le scrivanie swaption riempiono il silenzio
NDTV Profit ha riportato questa settimana, sotto il titolo "La Fed USA si prepara a un rialzo dei tassi questa settimana?
NDTV Profit ha riportato questa settimana, sotto il titolo "La Fed USA si prepara a un rialzo dei tassi questa settimana?
July 27, 2026 at 6:02 PM
🧵 La Fed entra nel blackout—le scrivanie swaption riempiono il silenzio
NDTV Profit ha riportato questa settimana, sotto il titolo "La Fed USA si prepara a un rialzo dei tassi questa settimana?
NDTV Profit ha riportato questa settimana, sotto il titolo "La Fed USA si prepara a un rialzo dei tassi questa settimana?
Le connu et l'inconnu se séparent ici nettement, et les confondre est l'erreur courante. Ce qui est observable, c'est la demande de couverture et le skew des options. Ce qui ne l'est pas, c'est l'intention : une position en swaption peut exprimer une conviction sur la trajectoire
July 27, 2026 at 6:02 PM
Le connu et l'inconnu se séparent ici nettement, et les confondre est l'erreur courante. Ce qui est observable, c'est la demande de couverture et le skew des options. Ce qui ne l'est pas, c'est l'intention : une position en swaption peut exprimer une conviction sur la trajectoire
ist, auf eine Handvoll Desks konzentriert und keinem Mandat verpflichtet. Die Deutungen dessen, was der Swaption-Skew bedeutet, unterscheiden sich je nach Zeithorizont und danach, was ein Institut überhaupt absichert.
July 27, 2026 at 6:01 PM
ist, auf eine Handvoll Desks konzentriert und keinem Mandat verpflichtet. Die Deutungen dessen, was der Swaption-Skew bedeutet, unterscheiden sich je nach Zeithorizont und danach, was ein Institut überhaupt absichert.
Bekanntes und Unbekanntes lassen sich hier klar trennen, und sie zu vermengen ist der häufige Fehler. Beobachtbar sind Absicherungsnachfrage und Options-Skew. Nicht beobachtbar ist die Absicht: Eine Swaption-Position kann Überzeugung über den Zinspfad ausdrücken – oder einen
July 27, 2026 at 6:01 PM
Bekanntes und Unbekanntes lassen sich hier klar trennen, und sie zu vermengen ist der häufige Fehler. Beobachtbar sind Absicherungsnachfrage und Options-Skew. Nicht beobachtbar ist die Absicht: Eine Swaption-Position kann Überzeugung über den Zinspfad ausdrücken – oder einen
Was die Aktivität am Anleihemarkt nahelegt", dass einige der schärfsten Signale vor der Juli-Sitzung des Federal Open Market Committee nicht von Notenbankvertretern kommen, sondern vom Swaption-Markt, wo Investoren Optionen auf Zinsswaps kaufen, um sich gegen künftige
July 27, 2026 at 6:00 PM
Was die Aktivität am Anleihemarkt nahelegt", dass einige der schärfsten Signale vor der Juli-Sitzung des Federal Open Market Committee nicht von Notenbankvertretern kommen, sondern vom Swaption-Markt, wo Investoren Optionen auf Zinsswaps kaufen, um sich gegen künftige
🧵 Die Fed geht in die Blackout-Phase – Swaption-Desks füllen die Stille
NDTV Profit berichtete diese Woche unter der Überschrift „Bereitet die US-Notenbank diese Woche eine Zinserhöhung vor?
NDTV Profit berichtete diese Woche unter der Überschrift „Bereitet die US-Notenbank diese Woche eine Zinserhöhung vor?
July 27, 2026 at 6:00 PM
🧵 Die Fed geht in die Blackout-Phase – Swaption-Desks füllen die Stille
NDTV Profit berichtete diese Woche unter der Überschrift „Bereitet die US-Notenbank diese Woche eine Zinserhöhung vor?
NDTV Profit berichtete diese Woche unter der Überschrift „Bereitet die US-Notenbank diese Woche eine Zinserhöhung vor?
mandate. Interpretations of what the swaption skew means differ by time horizon and by what a given institution is hedging in the first place.
July 27, 2026 at 6:00 PM
mandate. Interpretations of what the swaption skew means differ by time horizon and by what a given institution is hedging in the first place.
What is not observable is intent: a swaption position can express conviction about the path of rates, or it can express a treasurer buying insurance against a tail they consider unlikely. Those look identical in the price.
July 27, 2026 at 6:00 PM
What is not observable is intent: a swaption position can express conviction about the path of rates, or it can express a treasurer buying insurance against a tail they consider unlikely. Those look identical in the price.
What bond market activity suggests," that some of the sharpest signalling ahead of the Federal Open Market Committee's July meeting is coming not from officials but from the swaption market, where investors buy options on interest-rate swaps to hedge against future moves in
July 27, 2026 at 6:00 PM
What bond market activity suggests," that some of the sharpest signalling ahead of the Federal Open Market Committee's July meeting is coming not from officials but from the swaption market, where investors buy options on interest-rate swaps to hedge against future moves in
🧵 The Fed Enters Blackout—Swaption Desks Fill the Silence
NDTV Profit reported this week, under the headline "US Fed prepping for rate hike this week?
NDTV Profit reported this week, under the headline "US Fed prepping for rate hike this week?
July 27, 2026 at 6:00 PM
🧵 The Fed Enters Blackout—Swaption Desks Fill the Silence
NDTV Profit reported this week, under the headline "US Fed prepping for rate hike this week?
NDTV Profit reported this week, under the headline "US Fed prepping for rate hike this week?
Worried they’re gonna name a bond after Healey, too. The 🔥’em in payer swaption format.
July 20, 2026 at 8:49 PM
Worried they’re gonna name a bond after Healey, too. The 🔥’em in payer swaption format.
🚨 $EOG
I. Price Risk Management and Other With the objective of enhancing the certainty of future revenues and cash flows, from time to time EOG enters into financial price swap, option, swaption, collar and basis swap contracts (collectively, Financial Commodity Derivative Contracts). EOG accoun...
I. Price Risk Management and Other With the objective of enhancing the certainty of future revenues and cash flows, from time to time EOG enters into financial price swap, option, swaption, collar and basis swap contracts (collectively, Financial Commodity Derivative Contracts). EOG accoun...
SEC Filing: EOG
Click to view the official SEC document.
www.sec.gov
July 9, 2026 at 8:18 PM
🚨 $EOG
I. Price Risk Management and Other With the objective of enhancing the certainty of future revenues and cash flows, from time to time EOG enters into financial price swap, option, swaption, collar and basis swap contracts (collectively, Financial Commodity Derivative Contracts). EOG accoun...
I. Price Risk Management and Other With the objective of enhancing the certainty of future revenues and cash flows, from time to time EOG enters into financial price swap, option, swaption, collar and basis swap contracts (collectively, Financial Commodity Derivative Contracts). EOG accoun...
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...
"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
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...
"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...
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...
"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
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...
"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...
Feed: "Global Advisors | Quantified Strategy Consulting"
By: GA Terms on Sunday, May 17, 2026
By: GA Terms on Sunday, May 17, 2026
Term: Swaption
Global Advisors: a consulting leader in defining quantified strategy, decreasing uncertainty, improving decisions, achieving measureable results.
globaladvisors.biz
May 18, 2026 at 4:53 AM
Feed: "Global Advisors | Quantified Strategy Consulting"
By: GA Terms on Sunday, May 17, 2026
By: GA Terms on Sunday, May 17, 2026
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...
"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
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...
"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...
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...
"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
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...
"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...
EFTA01199508.jpg
#epsteinweb #efta01199508
https://epsteinweb.org
Available in the iOS app store now!
https://apps.apple.com/us/app/epstein-web/id6758880661
#epsteinweb #efta01199508
https://epsteinweb.org
Available in the iOS app store now!
https://apps.apple.com/us/app/epstein-web/id6758880661
![EFTA01199508 | EFTA01199508
From: Tazia Smith a>
To: jeevacationggmail.com
Cc:
, Paul Morris
,Na' Gupta
, Vinit Sahni
, Vahe Stepanian
Subject: JPY Swaption Trade + European-property-backed structure [I]
Date: Tue, 29 Jul 2014 14:30:49 +0000
Attachments: Reviewed_Les_Bordes_Teaser_Final.pdf
Inline-Images: unnamed; unnamed(1); unnamed(2); unnamed(3)
Classification: For internal use only
Good Morning Jeffrey - Hope this finds you well.
1- Below is a highlight trade idea from Nav's team on JPY payers.
2- Attached is a summary of the French property that Paul shot you a note about - would like to get your feedback on a
prospective structure (premium collected by client) backed by this property. Please give Paul or me a call for an overview to
see if you'd like to discuss further; as Paul mentioned, this will be a discussion for a very limited number of qualified investors.
Many Thanks,
Tazia
We are increasingly fielding questions from clients who want to know how to efficiently bet against the super-low level of yields
in Japan.
Without opining on where yields might go, the outlook for inflation, whether the BoJ increases QQE in October or debt
sustainability
We suggest investors who want to position short to look into buying swaption payer spreads
The first chart is the l0y swap rate (JYSW10)
The 2nd chart is the 1y implied volatility into l0y swaps (1y10y swaption vol, Bloomberg ticker JYSN0110 index)
As yields declined the cost of buying payers swaptions to position for higher yields has also fallen dramatically.
Payer swaption skew however hasn't fallen so payers spreads rather than outright payers stand out to me
ExampleTrade 1
Buy 1y10y 1.00%! 1.50% OTC payer spread for 45cents ie 4.8bp running. bleven approx. 1.05%
Example Trade 2
Buy 1.5y/10y 1.25% / 1.75% OTC payer spread for 45cents ie 4.9bp running. b/even approx 1.30%
Max loss in each case is premium paid.
Japan l0y swap rate is 0.665% (10y history)
EFTA01199508](https://cdn.bsky.app/img/feed_thumbnail/plain/did:plc:ndjyym3ihrqu3g25gdztefrv/bafkreibs4a4ml3cemcet7y4aik54bki7isq3zyomuqmzjierg2ppe7ug2i)
May 13, 2026 at 5:17 AM
EFTA01199508.jpg
#epsteinweb #efta01199508
https://epsteinweb.org
Available in the iOS app store now!
https://apps.apple.com/us/app/epstein-web/id6758880661
#epsteinweb #efta01199508
https://epsteinweb.org
Available in the iOS app store now!
https://apps.apple.com/us/app/epstein-web/id6758880661