Market View – IRVOL Enhancement | Weekly Release 12/3/21


Enhancement#1


Added SOFR Swaption ATM strike, Spot premium, forward premium and their change of day


In the transition to SOFR, the SOFR straddles strikes and change on day matrices have been added.


Using the SOFR forward swap matrix as the strike, the SOFR swaption straddle matrix will be calculated, including change on day.


Enhancement #2


Added the beta of the normal vol vs the underlying forward swap rate movement


Traders can now see the beta of the Normal Vol regressed against the underlying forward swap.


To set the data for the regression, either the daily change, whole level, or a mix of the two, click on “Preferences” –“Regression Choices