wilmott.com

Hi all
There seems be a lack of liquidity for caps/floors for Asia currencies, not even AUD.  I should be able to get the shorter end ATM cap/floors, but nothing much on the skews.  Can't see much in SDR apart from USD/EUR/JPY.  Only thing remotely have a skew is the ASX 3Y and 10Y AUD Bond Futures Options.  Apparently for EUR, the 1Y Swaptions SABR skew should be similar to the 1Y Cap/Floor.  So maybe I can use that for 1Y.  Any suggestions welcome... apart from asking banks for an OTC quote.

thanks

hello, interesting, i was also looking at the SDR data (i think you mean the reported trades data?) did you manage to find other sources of data?

so yes, the SDR data from DTCC.  Not really seen anything.  The fields are not very consistent.  Some caps data seemed to have gone in the swaptions area.  I saw some that has 2 months expiry, so maybe there are Aonia Caps trading out there.

Ah cool… yes I’ve done some work too on this data and spent some on side project cleaning up, mapping the fields (pre and post dec 5th 2022 when they changed all the field names and added new ones)…

Lemme know what you are looking for specifically and over what kind of period will see if I can help

Ah cool… yes I’ve done some work too on this data and spent some on side project cleaning up, mapping the fields (pre and post dec 5th 2022 when they changed all the field names and added new ones)…

Lemme know what you are looking for specifically and over what kind of period will see if I can help

Much appreciated, let me do some of my own research first to see if the prices make sense.  Will reach out if I get stuck