Clarus Blog Swaption Volumes by Strike Q4 2024
Continuing the work on Swaptions, I delve into the options market activity in Q4. The quarter was characterised by trading activity related to the US election, and from a data perspective we cannot avoid giving a notable hat tip to the change in block sizes. Q4 2024 saw the following daily moves in ten year SOFR [...]
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Clarus is an England-based analytics platform that provides solutions such as margin calculation, scenario analysis, and hedging for the financial industry.
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