<t>Yes this is true. On the other hand, if you think you've caught the highest or lowest CMS fixing, are you better off shouting it or gamma trading it? In the latter, you are left with the opportunity to gamma trade it again, whilst on the former you are not. If we agree it does not take value away...

<t>A volatility bond pays the absolute difference between CMS rates observed at the begining and at the end of a (quarterly or yearly) period. In a variation of this product known as "volatilty bond with shout option", the holder of the bond can freeze the value of the CMS rate observed daily, i.e. ...