Across the Curve

Swaption Vol Color

The general themes continue in the Vol market as we are still seeing a lack of demand for gamma product and better offers in payer skew on intermediate expiries. Rates have been contained since FOMC and the 3.50ish level in the 10y note appears pretty sticky here. 1w10y traded @ 98c; around 6.5bps/day. The vol slope continues to steepen in shorter expiries as many feel we will trade within the range until year-end.

Option    Price    Norm Vol    Norm Vol Chg
1M10Y     240.8     123.00      (0.89)
3M10Y     447.6     131.50      (2.04)
6M10Y     634.5     134.00      (2.95)
1Y10Y     894.9     136.50      (2.50)
2Y10Y     1,199     135.50      (1.30)
5Y10Y     1,447     119.80      (1.08)
10Y10Y    1,243      93.60      (0.81)