Swaption risk exposure in a listed options contract
Eris Options
Deploy nonlinear hedging strategies to effectively manage interest rate volatility. Eris options deliver the precision of traditional swaptions, combined with the margin efficiency and streamlined operations of a standardized, listed contract.
RESOURCES
The options advantage
Eris structure
Easily access swaption risk through listed options that physically deliver into Eris SOFR Swap futures.
Operational simplicity
Use straight-through processing (STP) to bypass ISDAs, manual agreements, post-trade swap confirmations and settlement mismatches.
Margin efficiency
Capture margin benefits with other listed Interest Rate futures and options contracts.
Market liquidity
Enjoy dedicated listed options market makers for transparent, real-time pricing from entry through expiry.
Contract Specs
| Contract | Ticker | MPI | Strike price listings | Block minimum |
|---|---|---|---|---|
| 2-Year Eris options | WIW | 0.01 of one point (0.01 = $10.00) | ATM +/- 25 strike increments of 0.125 | 50 contracts |
| 5-Year Eris options | YIW | 0.01 of one point (0.01 = $10.00) | ATM +/- 30 strike increments of 0.25 | |
| 10-Year Eris options | YIY | 0.02 of one point (0.02 = $20.00) | ATM +/- 25 strike increments of 0.5 |
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