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OTC vs Exchange Vol sheet Enhancement | Weekly Release 3/20/20

Leverage the OTC vs Exchange Vol sheet to track the volatility ratio which has recently spiked and is in flux more now than in recent history. Tracking this ratio is especially helpful in times of increased volatility, like in the current market.

Key features supported:

  • Relevant measures available: swaption daily vol (bp), CBOT daily vol (bp), vol ratio, 6-month rank, and 2-year range

  • Chart the realized vol time series for both exchange and OTC options with a customizable historical rolling period by modifying the “Realized Vol Hist”. This allows for tracking the underlying price movement in addition to the option price.

  • Use the “Graph” drop-down to select the preferred measures

The example below shows the ratio for 3M2Y vs TU (Swaption vs CBOT) over the last two years, which currently sits at 113%. This ratio is currently higher than 95.12% of values over the last 6 months and higher than 98.40% of values over the last year.


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