US rate caps under strain amid volatility surge
Market uncertainty hits liquidity in options on swaps, dealers say
Rates traders have been struggling to buy US dollar rate cap options, with liquidity drying up amid levels of volatility not seen since the Lehman Brothers collapse, driven by recent uncertainty around Federal Reserve actions and the war in Ukraine.
While volatility of longer tenors such as one-year options on 10-year interest rate swaps have calmed in recent days as the path of Fed hikes becomes
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