Ten-year vol falls to the sixth percentile
Every USD swaption, cap and floor on the public swap tape carries its strike, premium, expiry and underlying maturity. Priced against the day's derived SOFR par curve, that is a normal-volatility surface built from prints rather than dealer runs. The last section scores the tape against the option and swap structures that appear in insurers' statutory filings — the shapes the books hold, without attributing any print.
The three-month-into-ten-year normal vol sits at 74 basis points, the one-year-into-ten at 63.5, down 19 over the month and 25 in a day, leaving the one-year-into-ten at the sixth percentile of its year's range. Swaption prints ran to 330 against a twenty-day average of 343, split close to evenly between payers and receivers. Among the insurer-shaped structures, long receivers with a tail of twenty years or more led activity, 68 on the day against 976 over three weeks.
Swaption surface
At-the-money normal volatility in basis points a year, by option expiry and underlying swap tenor, from vanilla European swaptions struck within 20 bp of the forward (Bachelier, forward and annuity from the derived par curve). Package legs and zero-premium prints are counted but not priced. Call = payer, Put = receiver on this tape.
ATM normal vol, latest day · bp/yr (n)
ATM vol history, bp/yr
Swaption prints per day
Strikes vs forward
Where the strikes sit relative to the forward swap rate, payers and receivers separately, over the trailing 21 trading days. Receivers struck far below forward and payers far above are the wings insurers buy; ATM is the dealer and macro market.
Payer swaptions by strike − forward, bp
Receiver swaptions by strike − forward, bp
Caps and floors
Options on SOFR itself: caps (calls) and floors (puts), by term. Strikes are shown as the day's median; the forward SOFR path for comparison is the front of the par curve.
Cap and floor prints per day
Median strikes, %
Structures the statutory books hold
Schedule DB shows what insurers own; the tape shows what the market printed today. This section scores each print against the shapes in the filings — MetLife's receiver and payer swaptions and SOFR caps and floors (the one filer that discloses rate options at position level), and the forward-starting and long-tenor swaps the Rates page tracks. A match says the structure is the kind an insurer holds. It does not say who traded it.
Rate options in Schedule DB, FY2025
position-level disclosure; medians across positionsOther filers' option books are equity index calls hedging indexed annuities (Athene 28k, Corebridge 4k positions) — not rate options — or are disclosed only in totals.
Tape prints matching those structures, per day
Swap structures matching the books, per day
The forward-start profile is the Genworth/Pacific Life shape; the long spot profile is the MetLife/New York Life shape. Direction is not on the public tape, so both pay- and receive-fixed prints count.
Profile definitions and latest counts
Method and caveats
Definitions
- Normal vol
- Bachelier implied volatility in bp/yr: premium/notional = A·[(F−K)·N(d) + σ√T·φ(d)] for a payer, the mirror for a receiver, with d = (F−K)/(σ√T). A and F are the annuity and forward par rate from the day's SOFR par curve bootstrapped annually.
- ATM
- |K − F| ≤ 20 bp. Grid cells need at least two priced prints.
- Straddle legs
- A straddle prints as a call and a put with the same strike, expiry, tail, notional and premium. Some venues report the whole straddle premium on each leg, which doubles the implied vol; others report per-leg. Each day, a venue whose paired legs price at 1.6× or more of the unpaired prints in the same expiry×tenor cell has its paired premiums halved. Without that, the surface ran near 200 bp from mid-2024 to spring 2025 while unpaired prints sat near 100.
- Call / Put
- On this tape, calls are payer swaptions and puts receivers — established from out-of-the-money prints, where only one reading leaves premium above intrinsic value.
- Strike cleaning
- Strikes reported ×0.01 (notation errors) are replaced by the swap's fixed rate when the two agree at that scale; percentage-notation strikes are converted.
- Profile match
- A print is counted when expiry, tail, moneyness, size and clearing status fall inside the ranges of the corresponding Schedule DB positions. Ranges are on the page; no counterparty or reporting-party information exists on the public tape.
Comments
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