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Market View - IRVol Enhancement | Weekly Release 4/22/22

[RV Analysis] Added “Vega3M Neutral” weight

In RV Analysis under the “Weight” drop-down, once traders select “Vega3M Neutral” they can weight the trades by weighted vega (3M).

Calculation for Vega3M = Vega * Sqrt(0.25/T)

For example, -1/1 weight of 3m1y and 1y1y

1y1y has 1 vega and 0.5 weighted vega

3m1y has 1 vega and 1 weighted vega

Therefore: Vega 3M weight should be -.5/1 instead

* vega3M weight should fix spreads to have longer term leg as 1 or -1 and fix flies to have belly as -2 or 2 (in the fly, 1 belly vs each wing should be vega3m neutral)


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