Swaption Volatility Surface
ATM normal (Bachelier) vols in basis points, by option expiry and underlying swap tenor — the input that moves every swaption premium, and the one your bank won’t show you.
USD ATM normal vols (bp) · live in the app · preview of the full 21 expiry × 15 tenor grid · GBP, EUR & 20+ currencies
| Expiry \ Tenor | 1Y | 2Y | 5Y | 10Y | 15Y | 20Y | 30Y |
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| Unlock the full surface — every expiry and tenor, plus up to a decade of history → | |||||||
ATM normal volatilities from professional interbank sources, refreshed through the trading day in the app. Two swaptions with the same forward and strike can cost very different amounts — this grid is the difference, and how you check whether “the premium went up” was rates or vol.
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Every expiry, tenor and currency
- Live ATM normal vols, updated through the day
- Up to a decade of history per structure
- Matrix, 3D surface and Excel download
- USD, GBP, EUR & 20+ currencies
- Priced swaptions with full greeks
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How to read the surface
Rows are option expiries, columns are the tenor of the underlying swap, and each cell is the at-the-money normal volatility for that structure, in basis points per year. Desks read three things off it at a glance:
The level — how expensive optionality is
Higher numbers everywhere mean the market expects bigger rate moves, and every swaption premium is dearer. The 1Y×5Y cell prices a 1-year option into a 5-year swap; the 5Y×10Y cell a 5-year option into a 10-year swap.
The hump — where the uncertainty sits
Vols typically peak at the expiries where monetary policy is least predictable, often one to four years out, and fade at the very short end and the longest tenors. The shape tells you which part of the curve the market is arguing about.
The change — what repriced today
Rates can be unchanged while premiums jump: that’s the surface moving. Watching the day-on-day change is how you tell a fair re-quote from a widened margin — and why the surface belongs in your toolkit rather than in your inbox as a dealer PDF.
At the money, the premium is roughly proportional to the vol: the same 1Y×5Y payer costs half as much at 50bp as at 100bp. Risk teams revaluing swaption and floored-swap books, advisors benchmarking a premium quote, treasurers pre-hedging a probable financing and LDI managers watching receiver vols are all reading the same grid.
The swaption calculator makes it concrete — it prices off the live forward with the vol as an explicit input, and shows what each basis point of vol is worth on your structure.
New to swaptions entirely? Start with the swaptions guide — payer vs receiver, payoff diagrams and worked examples — then come back for the vols.
FAQs
A swaption volatility surface is the grid of implied volatilities for swaptions, quoted per option expiry and underlying swap tenor. Each cell answers one question: how much does the market expect the forward swap rate for that structure to move? A 1Y×5Y cell is the implied vol of a 1-year option into a 5-year swap. Add the strike dimension and the surface becomes the swaption volatility cube.
Rates markets quote swaption vols as normal (Bachelier) volatilities, in basis points per year — the expected absolute move in the forward swap rate, rather than the percentage move Black-Scholes lognormal vol describes. A normal vol of 90bp means the market prices roughly a 90 basis-point one-standard-deviation move in the forward over a year. Normal vols behave sensibly when rates are near or below zero, which is why the convention won.
Because uncertainty is not evenly distributed. Vols typically peak around the expiries where monetary policy is least predictable — often one to four years out — and decline for very short expiries (little time for anything to happen) and very long tenors (rates mean-revert over decades). That hump is why two swaptions with identical forwards and strikes can carry very different premiums, and why pricing off a single flat vol misleads.
The traditional answers are a terminal licence or asking a dealer — one is expensive, the other shows you what the desk wants you to see. BlueGamma carries the live ATM normal vol surface for USD, GBP, EUR and 20+ currencies in the app, updated through the day, with up to a decade of daily history (USD from 2015) — matrix view, per-structure history charts and Excel download. It ships with the 14-day free trial.
In the BlueGamma app the ATM surface refreshes through the trading day, with a timestamp on every view, and daily history per expiry×tenor cell — a decade deep on the major currencies — for trend and revaluation work. Revaluing month-end books, checking where a premium quote sits against the market, or tracking whether "the premium went up" was rates or vol — that cadence covers all three.
The live swaption vol surface, one trial away
USD, GBP, EUR and 20+ currencies. Matrix, 3D surface and up to a decade of per-structure history, with Excel download. No card required.