Options - GBP

November 8th is SOFR First for non-linear

MRAC has set November 8th as the date for switching interdealer trading conventions from LIBOR to the SOFR for USD non-linear derivatives.

GBP Vol: Tentative sellers after recent highs

A few tentative sellers emerge in the sterling vol market following recent highs.

GBP Vol: Cheap vs EUR; Payer spread value

Some find GBP implieds rich versus EUR, while others eye value in GBP payer spreads.

ICE launches GBP SONIA Spread-Adjusted swap fix

ICE Benchmark Administration today announced it has started publishing GBP SONIA Spread-Adjusted ICE Swap Rate settings.

BOE RFR WG: Transitioning to SONIA in Structured Products

The BOE-convened Working Group on Sterling RFRs has published a paper on transitioning GBP structured products to SONIA in arrears.

EUR Vol: Implieds mixed as risks linger

Implieds are mixed as some traders find that risks linger.

FCA and BOE: SONIA non-linear switch by 11 May

The FCA and BOE encourages the SONIA switch for sterling non-linear derivatives to be made by 11 May.

GBP Vol: No offers; Left vs right pain?

Sources report no offers in sterling vols and speculate about possible pain in left vs right trades.

BOE RFR WG on swap fixes for legacy GBP LIBOR swaptions a...

The BOE-convened working group on sterling risk-free rates has published a paper on swap fixes for legacy sterling LIBOR swaptions and CMS.

EUR Vol: Vega sold; Brevan vol gains; Callables

Euro vega is sold from recent highs. Brevan reports big gains for its vol fund in 2020.