๐ DV01: Fixed income's delta
Similarly to delta, an indicator that reflects the option priceโs 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
50,000 USDT
Jun-24 (49 days TTM)
0.67 USDT
ยฑ67 USDT
100,000 USDT
Jun-24 (49 days TTM)
1.34 USDT
ยฑ134 USDT
Time to maturity (TTM) impact
100,000 USDT
May-24 (21 days TTM)
0.57 USDT
ยฑ57 USDT
100,000 USDT
Jun-24 (49 days TTM)
1.34 USDT
ยฑ134 USDT
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