Sdr fx options
Chairman Massad has been vocal recently in his intent to clean up the sdr of the data in the SDR. Which tells us that on average, I should reference, however, that footnote 88 would have required all multi-dealer options platforms to have registered as a SEF, so we might begin to interpret all On-SEF activity as electronic, multi-dealer executed. At a macro level, I wanted to understand how much of the global options activity is going through SDRs. Just how much are we seeing? However the BIS report claims there was billion USD of daily activity in FX Options in April If I look at daily FX Options activity for April on SDR, the daily activity sdr roughly 31bn USD. Worth noting that if I look at ADV for YTDthat number is now 62bn. But without a good global benchmark, it is hard to say. Last thing to mention here — if I cherry-pick one currency pair and compare it across SEFView and SDRView, I can get a rough idea of how much the SDR under-reports trades due to cap limits. So it would seem we are only missing a few percentage points through caps on the SDR tape. Hence the transparency that one would wish to have is that of traded vol. The result is a nice simple view of options activity that I would want to see I am left with trades:. Here is the 1-month traded vol:. Finally, we can also get some good insight into which tenors trade the most. Clearly 1M options are king, and very little happens past 1 year. There are a number of things that I would not expect to be on the SDR, but that I would like to have in order to make transparency better:. Transparency is a great thing, but it would seem some policing on the quality of the data remains to be done. Stay informed with our FREE newsletter, subscribe here. Toggle navigation Clarus Financial Technology. Home About Company Core Principles Clarus In the News Press Releases Products CHARM Microservices CCPView SDRView SEFView Blog Contact Us Login SDRView Professional SDRView Researcher SEFView CCPView. FX Options Data on the SDR. Tod Skarecky February 16, No comments. FX Options Trade Counts Per CcyPair YTD This shows some decent activity being reported: SDRView vs BIS Report At a macro level, I wanted to understand how much of the global options activity is going through SDRs. SEF Data The On-SEF market for options is largely in the interdealer brokers: FX Options Notional Per SEF Sdr Some worthy tidbits: The majority of Dealer-To-Client options activity on SEF goes through Reuters recent press release here Tradition has the largest notional traded on-SEF. I would guess the voice business goes to Tullet and Volbroker to ICAP — but what parts does Tradition keep? Options you were to add the BGC and GFI activity, they would have the majority. So, does the SDR tell you what vol was traded? CLEANUP In order options begin options options and doing some analysis, we need to do some basic cleaning: Enrich the data with spot settlement and value dates from the given effective and maturity dates. Normalize the option tenors in order to do some nice aggregation. We need a spot reference for each trade. Normalized the premium amount into ccy2 pips terms. Computed the ATM Forward rate and resulting moneyness. Implied the option vol and computed the delta. Please note that I options not a quant by any means, but I simply wanted to see if I could get reasonable results. Determine if the option was a EUR call or a EUR put yes, things are often not what they seem. More on this later. More on this later as well. The result is a nice simple view of options activity that I would want to see I am left with trades: Here is the 1-month traded vol: The Good I was impressed that the cap sizes translate nicely for FX Options. The Not-So-Good There are a number of things that I would not expect to be on the SDR, but that I would like to have in order to make transparency better: Spot Basis when the option was struck. The FX rate from any hedge crossed would be good. I really expected to see many strategies. Of course no strategies are explicit on any SDR data, but we can often infer them through risk measures, time-stamps and other logic. Almost as if these were partial executions, and not strategies. The Ugly Many deficiencies made working with the data difficult, if not impossible: Normalized currency pair terms. It is often useful to treat the same currency pair as one product. However, the lack of this standard has multiple implications on the quality of the SDR data: There are cases where the amounts quoted do not equate to the strike. For example the 1. One could argue that the strike might be inverted, but the pricing otherwise works on this trade if you assume a simple mis-quoted terms. Option prices are typically quoted in either sdr 1 percent options ccy 2 pips. Fortunately the premium amount quoted is often good, so we do not need to make sense of the price terms in the SDR, but there are some general premium issues next point. Many standalone options not packages with 0 premium. Some options with premiums larger than the notional amount. Regardless of whether it is good information its superfluous in most casesit does seem to be a signature for particular reporting counterparties. If we go outside of vanilla options, a slew of other issues: Barriers — A sheer lack of any information in many cases very spotty premiums, spotty prices, strikes of 0. You might be able to guess if you had a trigger level — but get this — there is no trigger reported! SUMMARY I learned quite a bit by digging into the SDR data: Primarily this is dealer-to-dealer platforms. I would assume much of the balance of client activity is on single dealer platforms off-SEF. Well over 1, trades per day are being reported in the 6 major currency pairs. Cap sizes of FX Options do not seem to limit transparency to any significant degree. The quality of FX Options SDR data ranges from decent for Vanilla options to bad for any kind of exotic. Print Email LinkedIn Twitter Google. CPMI-IOSCO Public Disclosure by European Sdr. Invoice Spread Trading in the New CME Ultra Year Treasury Futures Contract. Stay informed with our FREE weekly newsletter. Send to Email Address Your Name Your Email Address jQuery document. Sorry, your blog cannot share posts by email.
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