Do they exist? Will any firm sell these, even by appointment?

Of course they do... Generally called "Conditional curve flatteners"... They are curve flatteners created not with a spread of swaps, but a spread of swaptions

You can also do CMS spread options direct-like.

You can easily do it using bonds as well...

QuoteOriginally posted by: DavidJNYou can easily do it using bonds as well...Conditional curve trades using bonds?

Conditional?

QuoteOriginally posted by: DavidJNConditional?Yes, wasn't the original question about options? Thus my confusion...

Ok, conditional means options. I gather there is not much of a market for even vanilla OTC options on bonds these days but I used to do them and also yield curve spread options on bonds. GS used to have what they caled SYCURVE options.

Yeah, I think the bond option mkt is more or less defunct... I have tried asking for some prices recently, out of idle curiosity, and the response I got could be best described as smth along the lines of "Shirley, you must be joking".

Firms do trade YCSO (yield curve spread options) and i believe that JP published a primer on them sometime in the last year or so. I don't believe that they are particularly liquid. Otherwise you can go to the swaption market which has pretty decent liquidity or Treasury Futures options which can be very liquid in some cases and have the advantage that the markets are posted on bloomberg or other platforms from the CME.

A couple different points here. To do conditional trades you can sell a call on one sector and buy a call on another sector (sell call swaption (receiver) on 2y swaps and buy call swaption (receiver) on 10y swaps) to take a view on the curve conditional on underlying movement. If you do receivers and rates rise in parallel, this trade is expires worthless. This is not the same as doing a yield curve spread option. In a YCSO, you can buy a call or put on the curve regardless of underlying movement. so the receiver example above only works if the curve flattens (10y rates drop more than 2y) in a rally .. a ycso put on the ohter hand would benefit from flattening in any rate scenario and is linearly settled off the curve. In general tough to replicate YCSO exposure using just swaptions since the correlation component will be missing... YCSOs trade on and off but certainly illiquid and one can get stuck w a position as its not traded by all desks.