All Options Considered: Is 100 Too High for Rates Volatility?
US rates volatility is elevated relative to the lows of early 2026, but remains around longer-run historical norms and higher forward rates may limit how far it can retrace. In...
By Inigo Imaz Blanco · Bloomberg
US rates volatility is elevated relative to the lows of early 2026, but remains around longer-run historical norms and higher forward rates may limit how far it can retrace. In this edition of All Options Considered, BI Chief Global Derivatives Strategist Tanvir Sandhu examines what a reading of 100 means in historical context, where volatility is concentrated across the swaption surface and why the risks priced by the options market are becoming more two-sided.