Interpreting Wide-Collar and Wide-Strangle Swaption Quotes

Summary

The document decodes two abbreviations used in swaption quotes. The year labels identify the option’s start date and the tenor of the underlying swap; the response focuses on the suffixes WC and WS, clarifying that they describe option structures rather than weights. A wide collar combines payer and receiver swaption positions on opposite sides of at-the-money, with the strikes separated by the stated width and arranged evenly around ATM.

A wide strangle also uses payer and receiver options at strikes evenly spaced around ATM, but its position signs differ from those in the collar. The distinction is therefore the combination of buying and selling the payer and receiver legs. This is a concise terminology explanation, not a full treatment of swaption valuation or trade risk. It gives no market convention details beyond the quoted structure and width, so conventions should be checked for the relevant market and quote source.

Key ideas

• WC denotes a wide collar structure in the described swaption notation.
• WS denotes a wide strangle structure.
• Both structures place payer and receiver strikes evenly around at-the-money.
• The collar and strangle differ in whether the payer and receiver legs are bought or sold.
• Quote conventions may require confirmation for a specific market.

Tags

# Swaption Terminology


# Swaption Terminology












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?

## Answer by user35980 (score 1)

https://quant.stackexchange.com/a/70845

- 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)

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.