Market View – CMSprd Vol Enhancement | Weekly Release 11/20/20

Added CMS Spread Vol for EUR and GBP with historical data

Enhanced CMS Spread Vol with the EUR and GBP tabs.

CMS Spread Vol is the flat vol implied from the CMS Spread option pricing. Traders can change “Short Index” and “Long Index” flags and recalculate the CMS Sprd Vol table. Click the “Calc” Button to calculate.

By double-clicking on the values, traders can access historical data series.