Equity indices and the volatility complex, beside the rates vol this site derives

It is mostly crediting hedges, not guarantee hedges. Three books carry $270bn of purchased index calls between them: one- and two-year tenors, bought roughly at the money, laddered so that no month holds more than a tenth of the year's maturities, and carried at four to seven percent of notional in premium. That is the hedge for the index credit on fixed indexed annuities and indexed life — the insurer owes the policyholder the upside of a capped index return and buys it back from a bank. Nearly half of the largest book's call notional now references custom and volatility-controlled indices rather than the S&P itself, and its counterparty list reads as the list of index sponsors: the option and the index come from the same bank. Those options never trade on a listed exchange and their vega lives in the index design.

The variable-annuity hedge looks different where it shows. Guarantee hedging is long-dated and short equity: purchased puts rather than calls, and total-return swaps paying the index against a funding rate. In these books it appears as $17bn of S&P puts with a median tenor of nearly six years, almost all maturing in 2031, carried near zero fair value — a buffer or floor hedge bought at inception of a five-year product — and as total-return swaps on the S&P, Russell and Dow against Fed funds or SOFR, in $100–370m pieces maturing 2027–2030. The delta hedge that does most of the work in a VA programme is in exchange-traded futures, which Schedule DB reports in Part B; that part is not parsed here yet, so the statutory view on this page understates VA hedging and overstates the share of crediting hedges.

These hedges do not reach the CFTC tape at anything like their size. The equities file above shows a dozen index option prints on a normal day. The largest call book alone has 21,800 positions maturing in the next twelve months, which means buying on the order of eighty replacement options a trading day; the three call books together need several times that. Either these trade as listed FLEX options, which are securities rather than swaps and never reach a swap data repository, or they are reported as security-based swaps on the SEC's tape, which this site does not yet load. For rates the public tape is the place to watch insurer behaviour and the blanks confirm it; for equity it is the other way round — the blanks are the record, and the tape sees only the variance swaps and the odd index put.

What on this page bears on a VA or FIA book. The one-year variance strike and VIX1Y are the cost of the next rung of a call ladder or a put roll, read off the tape rather than a dealer run. The term-structure chart shows what a two-year programme pays over a one-year one. The rates-versus-equity ratio is the relative price of hedging the two legs of a guarantee — rate floor and equity floor — in the same week. None of it is advice; all of it is public.

Known limits. This is the CFTC side of the equity swap market: broad index products and the single-name financing swaps that fall under it. Security-based swaps on the SEC's tape are not loaded. Listed index options and futures — where most US index volatility trades — are not swaps and do not appear; the tape shows the over-the-counter margin of that market, a dozen variance swaps on a normal day. Option prints with a strike below one are zero-strike synthetics and are counted separately from options proper.

Data terms. Derived aggregates only from DTCC public dissemination data and Cboe and FRED public series. Not investment advice. Requests and corrections go at the bottom of this page.