JP Morgan to offer interest rate options via Bloomberg

The US dealer will provide premium and volatility data on options with expiry dates of one, three and six months, and one, two, five or 10 years. Tenors will be one, two, five, 10, 20 or 30 years. All products will be euro-denominated, at-the-money straddles.

The scheme is intended to attract new investors to the interest rate options market. Chris Willcox, London-based head of rates trading at JP Morgan for Europe, the Middle East, Africa and Japan, said: “This initiative... will provide greater transparency to this market and will ultimately broaden the base of end-users for derivatives products."

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