Continuing the work on Swaptions, I delve into the options market activity in Q4. The quarter was characterised by trading activity related to the US election, and from a data perspective we cannot…

Clarus Financial Technology

18.03.2025

CNY Swaps – What’s New? |

CNY Swaps are now the largest interest rate swap market outside of the “G6” currencies. Clearing is split between Shanghai Clearing (onshore) and LCH SwapClear (offshore). 90%…

Clarus Financial Technology

27.03.2025

Transparency – Where do we go from here? |

60% of risk in USD OIS is now subject to trade-level reporting. Up to 87% of risk in standardised maturities like 10Y is reported within a couple of minutes of trading. The level of transparency in…

Clarus Financial Technology

02.04.2025

What Would a Liberation Index Look Like? |

We design a Liberation Index to track market expectations of tariffs. Based on FX Options trade activity, it looks at USDCAD, USDMXN, USDCNY and EURUSD markets. It is a novel way to use transparenc…

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Economy

Swaption Volumes by Strike Q4 2024 |

CNY Swaps – What’s New? |

Transparency – Where do we go from here? |

What Would a Liberation Index Look Like? |

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