2
$\begingroup$

What does 5y10y200 WC mean?

Further, what does 2y10y WS mean?

I know the first digit (5 or 2) means that the swaption starts in 5 or 2 years time, and the second digit shows how long the exchange lasts for (10 years), but I'm not sure what the 'WC' or 'WS' means. Is it something to do with weights?

$\endgroup$
2
  • 3
    $\begingroup$ Where did you see this? It may be specific to the data provider. Usually the first tenor is the option expiry, the second tenor the underlying swap maturity, the third sounds like a strike in bps (speculation), not sure about the W but C and S indicates cash or swap settled (speculation). $\endgroup$ Jun 29, 2021 at 9:51
  • $\begingroup$ Ah thanks! Was given it in a practice booklet $\endgroup$ Jun 29, 2021 at 9:54

1 Answer 1

1
$\begingroup$
  • WC=wide collar (buy/sell payer vs sell/buy rec where difference in strikes is 200bps, evenly around the ATM)
  • WS=wide strangle (buy/sell payer vs buy/sell rec where difference in strikes is 200bps, evenly around the ATM)
$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Not the answer you're looking for? Browse other questions tagged or ask your own question.