Short-dated vol rises as receiver swaption flow stays heavy
The quarter-year into ten-year normal vol sits at 96.5 basis points, with the one-year into ten-year up 37 basis points on the month to 90.9 and parked at the 81st percentile of its one-year range. Swaption prints ran to 374, split 179 payers and 188 receivers on $58.93 billion notional, while receiver structures with tails of twenty years or more numbered 66 on the day against 1,043 over three weeks. Caps outnumbered floors 37 to 6, median strike 4.75 percent, near-forward vol running 115 to 120 basis points across the one, two and seven-year terms.
The day's story may be elsewhere · TIPS & inflation: Breakevens drift lower as curve compresses further — ten-year CPI breakeven at 2.39%, the 11th percentile of its year, -7 bp on the week.
Swaption surface
ATM normal vol, latest day · bp/yr (n)
ATM vol history, bp/yr
Swaption prints per day
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.
Strikes vs forward
Payer swaptions by strike − forward, bp
Receiver swaptions by strike − forward, bp
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.
Where the tape puts the 10y
Open full screen. Plotly.js is loaded from cdnjs for this chart only.
Outright swaptions — straddle legs paired and removed — as a map of absolute strike against option expiry: payers are protection against higher rates, receivers the right to receive a lower one, with the forward swap rate at each expiry drawn across the floor. Rotate it; switch between the 10y, 30y and 5y tails and SOFR caps and floors; show the smoothed net surface or the raw bars. Companion to Research note 03; the window is 11 September to 9 October 2026 and is refreshed with each note.
Caps and floors
Cap and floor prints per day
Median strikes, %
Near-forward normal vol by term, bp/yr
Daily trimmed median of priced prints struck within 50 bp of the forward swap rate over the cap's life; needs two prints.
Normal vol by strike and term, bp/yr
Priced prints
Download window as CSVOutright prints with a premium of at least 0.5 bp of notional and a solvable vol between 5 and 400 bp. Package legs (collars, cap-and-swap) are counted in the day's totals but not priced, because their premium is reported on one leg or not at all. Notionals are rounded to $1m on the tape; capped sizes are shown at the cap.
Options on SOFR itself: caps (calls) and floors (puts). Each outright print with a reported premium is priced as a strip of caplets off the day's SOFR curve to a flat normal volatility, so strikes and terms can be compared on one scale. The surface below pools caps and floors (same strike, same term, same normal vol) over a trailing window; the print table is the underlying data.
Insurer-linked prints today
Tape prints matching those structures, per day
Swap structures matching the books, per day
The forward-start profile is the Genworth shape; the long spot profile is the MetLife/Pacific Life shape. Direction is not on the public tape, so both pay- and receive-fixed prints count. The full swap, asset-swap and inflation roundups sit on the Rates, Asset swaps and TIPS pages.
Profile definitions and latest counts
Today's prints that match the rate-option structures MetLife discloses in Schedule DB — receiver and payer swaptions struck away from the forward, SOFR caps and floors — and the forward-starting and long-tenor swaps the Rates page also tracks. A match says the structure is the kind an insurer holds, not who traded it. The books and the tests are on the Insurers page.
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.
- Cap/floor vol
- A cap or floor is priced as a strip of caplets, each Bachelier on the forward SOFR for its period from the day's curve, discounted at the period end, summed and solved for one flat normal vol. Payment frequency comes from the tape (default quarterly); compounded and averaged SOFR fix in arrears, so the caplet expires at the period end, Term SOFR at the start. The first period of a spot cap, already fixing, is dropped. Cap and floor at the same strike and term share the vol by parity, so the surface pools them.
- 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.
- 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.
About this page · 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.
Requests
Ask for a series, a cut of the options data, or a correction. Posts are visible to everyone with the page; sign with a name or handle if you want a reply, or write to rates@ruxton.ai. Every section above has a "Section requests" link that lands here with the section preselected.