Swaption Vol

September 28th, 2009 1:48 pm | by John Jansen |

The premium on a three month/ten year ATM swaption straddle is468 basis points. Annualized vol is136.8 and the daily breakeven is 8.55 basis points.

The premium on a 5year/10 year ATM swaption straddle is1443 basis points. Annualized vol is 115.8 and the daily  breakeven is 7.2basis points

Breakeven levels  yesterday were 8.6 basis points for the three month option and 7.3 basis points for the five year expiration.

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