๐Ÿ“‰ DV01: Fixed income's delta

Similarly to delta, an indicator that reflects the option priceโ€™s sensitivity to a change in the underlying asset price, DV01 of a given position in fixed-income trading is a dollar value of 1 basis point shift in the market rate.

DV01 is the most common metric fixed-income traders use to estimate the impact of potential market movements on their PnL.

DV01 is primarily determined by two factors:

  • The size of the position

  • Time to maturity

A couple of quick examples to illustrate the impact of DV01 on the value of a trader's position are shown below. In all cases, the trader is going long (Payer) in Binance ETHUSDT Perp Funding Future, opening a position on May 10th, 2024:

Notional (size) impact

Time to maturity (TTM) impact

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