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Still, there’s always time for some kind of fun with the data, right? So let’s take a quick gander at the volumes that have traded across expiry dates and strike prices for just a subset of the data – namely the CDX.NA.IG.S25 Index this year: CDX Swaptions traded during 2016. This is the kind of thing we’ve been doing for the Rates market and people seem to love.

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Feel free to contact us if you think Clarus should be doing this within our Credit feed.

Isn’t the whole point of data reporting to aid transparency?

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Why don’t we improve the accessibility of the data and just make everyone report prices as Points Upfront or Traded Spread? The Swaptions data is full of Percentages/Prices/UpfrontPoints quotation differences – which are simple enough to convert using the ISDA/Markit standard methodologies outlined here, but it seems strange to make this a two-step process.We do have a couple of caveats, as this week we’ve noticed the following in the data: Using that Dataįirst up, the CDS Swaptions data. Thankfully, Clarus curate all of that data and make it easily accessible. Even for a Rates trader like myself, we can make sense of this huge Universe of CDS data in a relatively straightforward manner. This is certainly true – all you have to do is look at the drop-down list in Clarus of the Indices traded to have a sense of how wide this Universe is: Still, as Bloomberg say in their article įrom the widely used Markit CDX index tied to credit default swaps (CDS) on junk-rated companies to options written on that index, as well as total return swaps (TRS) linked to Markit’s iBoxx cash bond index-investors now have a bevy of exotic, alternative instruments to trade the asset class. Swaption volumes out-stripped the underlying Index volumes on 4 other days as wellĪnd this can be seen in even less liquid offerings, such as the iTraxx SovX Index which, truth be told, hardly ever trades in either Swaption or Swap form (chart to the right).For example, on July 17th, Swaption volumes were 79% of total volumes traded.On a select couple of days in the six month window, we did see Swaption volumes out-strip the underlying Index volumes.Volumes for iTraxx Australia Index and Options written against that Index are shown on the right. When we look at some of the iTraxx indices, we do see a different story: Itraxx Australia iTraxx Australia: Click to enlarge The second point there turns out to be key. The above analysis is on the most liquid indices.We don’t necessarily see the whole market in our data.To be fair, the assertion that Swaptions may trade more than the underlying Index can be upheld in some circumstances. That’s not to say that’s not impressive! But still, not quite as much data as I was hoping to delve into.As a percentage, the peak volume of Swaptions traded was just over 34% of total CDX-related volumes.Far fewer Swaptions traded relative to Swaps on any given day.

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Here’s the chart plus the API call: CDX Volumes vs Swaption VolumesĪPI Call: /rest/api/v2/SDRCR.csv?source=BB……. So I was really hoping we’d see similar for Options (“Swaptions”) written on the Index too. CDX vs CDX OptionsĪs we’ve discussed in the past, due to the success of CLOBs in the CDS Index space, CDX data is an excellent target for some data-mining. So I thought I’d test out this assertion in the data. Looking at volumes and, in particular, comparing volumes of what trades and where. Obviously, this is our kind of bread and butter at Clarus. the notional volume of credit index options traded has on some days surpassed the volume of trades in the underlying index, according to a senior credit trader at one of the biggest banks. But there are a few nuggets in the story that I thought worth exploring nonetheless. Sadly, it was far less enticing than that. I was expecting a bit of a block-buster revelation about volumes, akin to the Risk article about HFT in the UST market that garnered so much attention last year. When Systematic Trading Comes to Credit Markets I recently saw a nice click-bait title on Bloomberg that piqued my interest:

…with Bloomberg’s SEF the number one venue.For the underlying Indices, there have been record volumes traded during 2016….In Options, we see a lot of Swaption expiries coming up next week.We look at the SDR data for CDS Index and Swaption trading.

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