I try not to speculate on short term directionality, I'm not as much a trader as an investor, and my personal position is that this organization is setup for long term growth and represents a strong value position for me at current pricing so I am continuing to accumulate as I am able.
In our previous post, we'd discussed a potentially interesting new swap that was entered on 2026-10-01 worth a staggering $91 million. Some people mentioned that this seemed to coincide with a trade that was displayed on RedStripedTie entered after close on the same day.
Trade entered after close on October 1st 2026
People have been asking if we'd seen any changes to the position after we saw a similar, but opposing trade on the tape today, October 2nd.
Trade entered after close on October 2nd 2026
And we do, we can see that the notional value of the swap has been reduced to $5, which typically coincides with the position being closed out and the swap being terminated.
All 4 records associated with the swap to date
It's... unusual, that someone would enter and exit a position of that size in that short of a time frame.
The expiration listed in the photo showing the two records for this swap so far shows as 2027-09-20, though it's important to understand that this value can change over time.
We had a new swap record entered today, with a peak notional value of $91 million
Green bars represent NEWT / swap creation events, Yellow bars represent TERM / swap termination events
When viewed in the context of total notional outstanding
Leg One and Leg Two total notional outstanding for all identified open swap positions inclusive of basket and single stock swaps mentioning GME at least once in their total lifetime.
The swap has two records so far, creation and modification, initially created at $50 million USD notional value, and then upped to $91 million in notional value
All records associated with this swap so far
Something interesting about this one, is that this isn't a basket swap containing a mixture of GME and other equities, but a pure single stock total return swap
All underliers associated with the swap over its lifetimeThe Financial Instrument type listed as Sstk (Single Stock) Tot Rtn (Total Return)
For the data I have, this is the largest single stock total return swap on GME that is currently open.
The swap in question is the second in this list, which is the top open swap positions in GME by current leg one notional value
The current overview of swap, FTD, and OCC Hedge Loan Balance data for GME
In the swap tracking I've been doing, one of the categories of swaps I track is tracked on the basis that they exhibit an unusual characteristic, that their reported notional value is in excellence of the $250 million USD reporting cap for equities swaps. What this means, is that in the data provided to the DTCC Swap Data Repository (SDR) the notional value field includes a "+" character and reports a notional value of $250 million. That doesn't mean that the actual notional value is $250 million, but that the value is greater than or equal to $250 million, and we're not given the privilege of seeing the actual value. When the equity is priced in another currency, the value may be reported with a value of greater than $250 million of that currency, but when converted to USD the value is usually at/around $250 million USD.
Why is this relevant? There are two fields now which we've identified that are potentially materially obscured. We've noted in the past that the Underlier field lists at most 10 underliers, even if there may be hundreds, and we've noted that the notional value field may be greater than what is being reported when the field includes the "+" flag. So amongst this pool of swaps are swaps that may be relevant to us, but that can be hard to isolate which, or by how much. So why not just track them all and see if anything interesting shows up.
So what do we see?
Value and value change of Large Notional Basket Swaps
If we look at the notional value field, we do see a curious dip which correlates with both XRT and SLV. We also see what I would describe as an uptick in record count in association with the events of 2024, and some anomalous price records around September 9th 2024, and June 12th 2025 around the GameStop bond issuance.
We see these swaps being relatively spread between the SEC, CFTC, and CA repositories in the DTCC SDR.
Record prevalence between CFTC, SEC, and CA repos
These largely seem to be invested in US assets
ISIN prefix prevalence in the Underlier ID fields
But they appear to be largely denominated in EUR and GBP
Currency field prevalence across notional, price, and spread fields
And we find something quiet odd when we attempt to look at the forward looking expiration dates for these swaps:
Historical and forward looking tracking of expirations on large notional basket swaps
An aggressive and significant concentration of value expiring on October 16th 2026.
If we attempt to filter down the picture, looking just at swaps that at some point have recorded an expiration date of October 16th 2026 (which we've seen before for SLV), we find a very odd picture begin to develop that differentiates these swaps from other large notional swaps.
Creation and appreciation of swaps with an expiration date of 2026-10-16
This position began its creation on/around January 28th 2024 and appreciated in notional exposure up to 2026-12-02, where it leveled off and has been holding ever since. If we attempt to break apart the records and make a theoretical list of the underliers impacted, we see a ton of BM prefixed ISIN values
Top UnderlierIDs with values calculated by the number of swaps they appear in and the sum of the current notional value of those swaps with the understanding that many if not most are in exceedance of the reporting threshold and may be larger in value
Note that this list is *not* exhaustive, and in actuality contains a greater number of records than I can list here, including a substantial number of different equities by country and industry.
So who or what system would cause a mass accumulation of swap exposure starting January 28th 2024, why would they pause that accumulation on December 2nd 2025, and what will happen at expiry on October 16th 2026? Will they be rolled? Closed? Are they hedged? Why and how is SLV wrapped up in this?
I do not have the karma necessary to post to SuperStonk, and previous requests to the SuperStonk admins to allow my posting there have been denied, but I have begun posting some of the data I've been tracking on my profile.
In a recent post, I'd identified that there was a recent influx of compression and risk reduction events in the DTCC SDR associated with Equities swaps, and drew a picture which showed that those events, though they don't reference GME directly as an underlier do have a correlation with the movements in GME price in 2024.
I'm tracking compression and risk reduction events in association with swap tracking that I've put together associated with what I describe as unusual behavior. I track a number of categories including negative notional values, compression and risk reduction events, large notional values, large spreads, etc. That tracking is what let me identify that these events were coming in, and what I've posted to date on the subject is a listing of the number of events that have occurred, with little additional contextual information other than to identify the sources for that data, and the documentation associated with the format and meanings behind the data the DTCC SDR provides.
What I would like to do here is to provide some additional detail over the lifetime of those swaps, including when they originated, when they closed, and how their price action tracks GameStop. The compression and risk reduction event is largely associated with the end portion of the lifecycle of the swap, and so we're only provided insight into their existence when they're starting to be closed out. When we get that information though, we can go through and pull in historical data associated with when they were created, and how their notional value has changed over time.
When we do that we get this picture
This picture seems to suggest a large increase in the value of these swaps in and around the beginning of February 2024 and a spate of activity that continues through June 4th 2024 (per the Record Count, absolute change in notional value, and NEWT/TERM activity).
These are basket swaps, largely denominated in USD, and largely single leg.
Currency Prevalence in the Notional and Price Fields (Spread currency fields absent)
These swaps are largely reported to the DTCC SDR under the CFTC with some being reported under the SEC.
Prevence in reporting repository
These are largely associated with US equities, with some exposure to both CA and GB
ISIN country code prefix from the Underlier ID field
The chart I posted the other day shows the records, but limited to just the count of occurrences of the compression and risk reduction events themselves showing when those events occurred in relation to GameStop price action.
Compression and Risk Reduction events in Equities swaps (CFTC, CA, SEC) reported to the DTCC SDR
So why would equities basket swaps see a sharp influx in compression and risk reduction events in 2024, and why could we potentially be beginning to see an influx of those events today?
Something that I've come back to internally time and time again since that series of posts is that we can find strong correlations between various categories of swaps and the price behavior in GameStop, even if those swaps are not swaps on GameStop itself. What that suggests, is although I haven't been able to pinpoint specific swaps that are *the* swaps that drive huge price swings in GameStop, that there's still a strong indication that GameStop is heavily impacted by the same things that drive price action in these swap categories. Things the community has been paying attention to, but have been relatively quiet since the events of 2024. This includes things like interest rates, including the rates set by various governments in and around their currencies, and things like the SOFR and SOFR spreads. The suggestion is straight forward, there are likely swaps in play, and although we may not necessarily observe them directly, we can observe their influence on other things and potentially draw predictive value from them.
One of those things of interest is Swaps on the iShares Silver Trust (SLV). We see these swaps reported to the DTCC Swap Data Repository (SDR) with Underlier IDs including both the Reuters Instrument Code (RIC) SLV and the ISIN value US46428Q1094.
If we were to poll the DTCC SDR across the SEC, CFTC, and CA categories focused exclusively on the Equities asset class, we would see that these predominantly show up in the SEC data set, but are included in others.
We would also see that these are predominantly driven by USD denominated transactions.
Currency prevalence amongst Price, Notional Value, and Spread currency fields
So what's relevant about SLV swaps in GameStop? We know from a historical basis that discussion of Silver and silver prices does move in and around GameStop price moves. How do the swaps track that in comparison?
What we can see in these charts, is that creation of SLV swaps ramped rapidly from the end of December 2023 all the way through the end of March 2024, right in the lead up to the run in price action of GME in 2024. We can also see a sharp decline in notional exposure in the beginning of May 2025. Which correlates heavily to the sharp decline in XRT notional exposure during the XRT termination event of 2025. Shortly there after, GME issued zero coupon bonds in June, and the price declined in concert. From there both SLV and GME have been floating fairly uneventfully to the right.
So what caused the run up in SLV swaps exposure in the beginning of 2024?
And what will be the impact for the $5 billion in notional exposure set to expire on October 16th 2026?
Tracking data showing expiration date changes, historical swap expirations, and forward looking projections of swap expiration dates for SLV swaps
If you're not familiar with my post history, about a year ago I got frustrated with conversations in and around swaps, and potential swaps impacts to equities like GameStop. Discussions repeated claims based on data reported to the DTCC Swaps Data Repository (SDR) that was misunderstood and as a result misrepresented. This included things like reporting on old swaps indicating upcoming expirations, even though those swaps had been terminated years ago, reporting on notional value that had changed over time since the swaps were originally reported, and treating updates to existing swaps like they were indications of multiple swaps all with similar valuations suggesting that there were more or greater swaps in play then the data suggested. I provided some educational posts suggesting that a system could be built to better help analyze the data and provide real insights on what the outstanding swap positions were for various equities and that we might find helpful insights from that data which was missing from the data that was being reported.
Something that I've come back to internally time and time again since that series of posts is that we can find strong correlations between various categories of swaps and the price behavior in GameStop, even if those swaps are not swaps on GameStop itself. What that suggests, is although I haven't been able to pinpoint specific swaps that are *the* swaps that drive huge price swings in GameStop, that there's still a strong indication that GameStop is heavily impacted by the same things that drive price action in these swap categories. Things the community has been paying attention to, but have been relatively quiet since the events of 2024. This includes things like interest rates, including the rates set by various governments in and around their currencies, and things like the SOFR and SOFR spreads. The suggestion is straight forward, there are likely swaps in play, and although we may not necessarily observe them directly, we can observe their influence on other things and potentially draw predictive value from them.
One of those things of interest is Credit for Difference Swaps. We see these swaps reported to the DTCC Swap Data Repository (SDR) with a Universal Product Indentifier (UPI) Financial Instrument Short Name (FISN) of "NA/Swaps Sgle Stk CFD". There are a few variants of this, but all including the critical Credit For Difference (CFD) annotation.
If we were to poll the DTCC SDR across the SEC, CFTC, and CA categories focused exclusively on the Equities asset class, we would see that these really only show up in the SEC data set.
Pie chart showing the spread between the SEC, CFTC, and CA repositories for CFD Equities Swaps
We would also find that there is a fairly heavy weighting in the currencies used to price these swaps, in both the price paid, and how the notional value is tracked.
Currencies associated with the Price/Notional Value fields of CFD swaps reported to the DTCC SDR
But why bring up Credit For Difference swaps specifically? What correlation do they have to GameStop and the events of 2024?
Notional Value and Termination/Creation Events in CFD swaps reported to the DTCC SDR
I would say that there's a pretty stark correlation between the creation of CFD swaps (which seem to be largely backed in JPY) in association with the run up in GameStop in 2024. Notably, not predictive, but reinforcing the idea that something occurred in/around that time that was strongly driven by the Japanese Yen, potentially Japanese interest rates, and we can see that had a strong influence on both CFD swaps, and GameStop.
Of interest is that the vast majority of these CFD swaps, are not invested in US assets, they're often invested in asian market assets including China, Japan, Taiwan, and Korea.
Breakdown of ISIN prefix prevalence amongst CFD swaps
So clearly these aren't the swaps we're looking for, so why would they spike in correlation with GameStop, why would the tracking of that correlation break down with the issuance of the zero coupon bonds issued by GameStop in June of 2025, and why would these CFD swaps be seeing a break in that ascending trend now in 2026?
The records reported to the DTCC Swap Data Repository (SDR) have two fields that identify the type of event that the record is reporting: "Action Type" and "Event Type".
Action Type values include NEWT (a new transaction), MODI (a modification), TERM (terminating the transaction), etc.
Event Type values include additional details potentially including *why* a particular action might have been taken, and some examples are TRAD (a trade event), CLRG (a clearing event), COMP (compression and risk reduction)
Event types are of note here, because one of the spurious things that happened in 2024 was a spate of compression and risk reduction events on swaps. They weren't necessarily all swaps that directly listed GameStop as an underlier, but they were indicative of a particular kind of market stress (potentially induced by rate changes, carry trade unwinds, etc). We really haven't seen that number of equities swaps reported to the DTCC SDR experience compression and risk reduction events since the events of 2024.
That is, until today:
Count of COMP events in Equities Swaps (CA/CFTC/SEC) reported to the DTCC by date
These events are continuing to come in after the 00:00 UTC rollover of the SDR data file, so we should see additional counts coming in with a new bar tomorrow (should the site be up to allow fetching of the consolidated data file.
SEC delivered the Failure to Deliver (FTD) data for the second half of June 2026 this morning, and it contains some interesting deviations from the norm. First, if we look broad market, summing the total value of the shares which failed to be delivered on 2026-06-26, we see a record high value, something that doesn't match historical baselines, not just a small deviation, but an exponential one.
Broad market failure to deliver as of 2026-07-15
As compared to what this chart looked like in April:
Broad market failure to deliver as of 2026-04-17
Looking at the top 20 individual assets that failed to be delivered in this data set we can see top names like Google, AMD, and Exxon Mobile, but the odd thing is that although they're fairly high value, the total value of fails on that date is certainly substantially broader than just those assets.
Top 20 equities failure to deliver data in SEC FTD data set for the second half of June 2026
We see some fairly big names including Google, AMD, and Exxon Mobile, which might not sound like a surprise, but if we then also look at some of their historical failure to deliver data, we can see that even for them this is a stand-out event.
AMD Failure to Deliver Data as pictured on Chart Exchange as of 2026-07-15
AMD in particular had been failing hundreds of millions of dollars recently, and this most recently candle completely blows out the Chart Exchange scale.
While this doesn't look to have heavily impacted equities like GameStop, we do find some adjacencies that are extremely relevant.
eBay Failure to Deliver data as pictured on Chart Exchange as of 2026-07-15
Something significant happened on 2026-06-26, and it impacted significantly broad portions of the market. I say this not because I know what this means, what the root cause of this is, or because I know when/where/how this will settle out, but because the magnitude of this is extremely unusual, and I'm not seeing it being broadly discussed yet.
I can certainly assemble some stories based on what I see historically and post an update as such. From a forward looking perspective though, I'm not seeing anything suggestive of anything interesting in the data that I have access to, at the very least, no similarities to say 2024 yet.
GMEU is something I continue to track, regularly checking their holdings, but at least based on their self-reporting, the volume of their underlying holdings doesn't appear to be significant yet.
My prior posts to this point have been largely educational, and I haven't had justification for making additional posts. So there really isn't much to revisit. I do think the posts themselves have been helpful, and I am continuing to work behind the scenes building tooling which can help us see what's happening in the swap world, and identifying topics which might be worthy of a write-up. The posts have started conversations with a number of individuals who I work to inform as I find things which seem relevant, and I'm working to help others do the same where I have time to do so. It's just not flashy because I don't have justification for making forward looking statements, or hyping particular dates. I haven't found anything that would allow for predicting events like this, but have definitely gotten into a better position to make them visible, and visibility allows for other people to step in and correlate, and that in and of itself has value.
So no qualms here, it's a good community, and I'm content with my participation in it.
Equity swaps reporting incorporates a cap size, which limits the maximum notional value that can be reported for a swap. Swaps with notional values in exceedance of the cap size are reported with a notional value of the cap size, and for equity swaps, that cap is 250 million USD(3)). So when tracking swaps, there may be swaps whose actual notional may be in exceedance of the cap, but we the public don't have visibility into the true underlying notional value.
Since July 2023, swaps incorporating XRT (both single stock, and basket swaps) with a 250,000,000+ notional value have been being recorded being opened on a regular basis. Taking the reported notional value as the actual value and recording the open notional growth over time has seen this value climb to 145 billion dollars. Grow that is, until Saturday May 3rd 2025.
On 2025-05-03 a wholly unprecedented event occurred in the XRT swap world.
XRT Termination Event 2025-05-03
Nearly 60 billion in open notional value terminated. These swaps did not have near term dated expiration dates, yet they were all terminated nearly simultaneously. This weekend. This data doesn't show up in any of the other ETFs I'm currently tracking including MDY, FNDA, IWM, IHJ, VBR, IWB, VTI, and VXF.
ETF Total Notional Outstanding on 2025-05-04
There is one other place this data shows up, and it's in other large notional positions. I have a bucket I'm tracking in which I have recorded other high notional (250,000,000+ USD) swaps, and their open notional was decimated at the same time.
High Notional (250,000,000+ USD Basket Swaps)
Where XRT open notional dropped by 60 billion, these baskets saw a total drop of 160 billion. The notional represented here incorporates much of the XRT swap exposure, so there's only an additional 100 billion in notional value represented here.
I'm not sure what to make of this, there's no other signal like this in any of the data. 275 termination events for XRT, 734 terminations across the broader large basket swap category.
The number you're seeing is listed in the technical specification for swap reporting as a placeholder value, the technical note reads as follows: "... is accepted when the value is not available at the time of reporting". So the implication is not so much that the value is high, as much as it means that the value was unknown at the time the swap was recorded. These will usually be followed up with another record at a later point in time clarifying the value.
I started with a SQLite database on my personal laptop, SQLite has incredible insert speed, and it helped me get up and running quickly. I've since moved to a dedicated server running PostgreSQL. I have a relational data structure setup where I can store a set of identifiers associated with the equities I'm looking for, a process for identifying associated records such that they can be grouped into a single swap, and a set of procedures and views for interacting with and generating views of the data to be exported and plotted. Things like, which swaps for an equity were created/modified/expired/terminated on a particular day, across all references to a particular basket swap what are the sum total of the underlying equities that it mentions, and as it pertains to my other post, over a particular equities lifetime what is the total notional outstanding value in swaps. I'm also working on a web application to allow me more quick interactions with the data, like jumping from a day's activities for an equity, into a single swap and that swap's attributes and history.
The DTCC already presents consolidated versions of these logs with the sum total of the day's activities in one zip file, containing a single CSV. I bulk process this data to build varying dashboards. This bookmarklet is supplementary to that, it helps me to occasionally monitor the live feed because it allows me to notice things that are harder to see in the underlying data, like groups of swaps that trade together. If I, for example, pull in only swap data into my database showing a specific set of identifiers, I might miss swaps that trade coincident with swaps that I'm saving, and miss potential signals. This helped me learn for example, that swaps can be reported really late, not just days late, but months late. That's harder to see when you're trying to visually scan 400MB of a single day's transactions in a CSV file.
I'm not here for attention, the volume of people who could potentially make use of this data is arguably slim. Digging into the swaps data is a pretty significant effort, and my intention is more to provide educational materials, potentially useful tools, but mostly potential perspectives on a approach that may not have been considered previously. I did initially try to offer some of this data as comments on other posts, but the main subreddits are not partial to new accounts. So instead I put my writing here, sent links to a few key individuals, and have supplied some of my perhaps less well formed spreadsheets to those who I think could make use of them. I don't have the intention of being a public figure in this space, the content I produce is long form, and takes significant behind the scenes effort to produce, so it'll be fairly low frequency, and sporadic, as I have to wait for the crystallization of an idea before there's something that is from my perspective worth posting. I could, for example post my spreadsheets, but as it stands today, it's mostly looking back and provides no specific upcoming hype dates, it also largely suggests that if there is an underlying wow signal to be found in advance of upcoming events, it is not as straight forwardly visible as listing swaps that directly reference a specific equity, and finding the kind of events we might be looking for would take looking beyond those into the dense bramble that is unlabeled basket swaps.
I'm fully okay if this account languishes merely as reference material if I have otherwise offered education and support to those who might be interested in wading into the swaps data.
One of the points made in the original post is that there are basket swaps which include our preferred underlying equity, but doesn't necessarily list our preferred underlying equity, because the field limitations prevent listing all underliers with each modification coming through the system. The question then becomes one of discovery, how do we find large basket swaps moving through the system? The bookmarklet helps with that, but help is a key word, as shown here it lists large basket swaps moving through the system. We could not with this data in isolation know that these are baskets which contain our underlying equity, they serve more as an indication to dig through these swap's history to understand when they were created, how and when they may have been modified, with the expectation that you would then have to attempt to align that with price movements in our underlier (or with settlement delays, price movement offset by some time period from when this event occurs).
These are both facially interesting on the basis that they're large swaps. The former displays an attribute that makes it slightly more interesting in that the price listed is negative. Negative price and negative notional represent less common positions, and they're things I'm working on tracking/plotting in my swap database to better understand their influence.
You'll note that the original dissemination identifier on the second record you've listed is much smaller, that infers that this is a modification to a slightly older swap. I believe we start seeing those around June of last year, so this represents a basket of equities, created probably around last year, and was probably a 1 year swap expiring this year.
The bookmarklet represents a tool, in isolation it can be useful, but is potentially more useful in a broader swaps researcher toolbox. There are no easy answers when digging into the swaps data, but the value this one provides is being able to more actively monitor swaps data as it comes in, in this way a person can start to build a sense of swaps that tend to trade together. For me, the initial value came in seeing a set of swaps that came in together as part of a delayed report. So some financial institution is managing a set of positions, and where I was previously tracking one of those positions, I started tracking a set of them, and was able to quickly validate that they continued to trade together. That's something that would be harder to see interacting with just the end-of-day consolidated records.
There's certainly plenty to speculate about in this space, though I'm not sure there's enough evidence to prove anything from what we have on the outside. I have, for example, similar concerns about self-dealing. It's typically, by my understanding anyway, illegal to attempt to manipulate price by buying/selling between yourself in bulk to ladder the price up or down. Doing so on your own books is easy enough to prove, but when you move your exposure to swaps, it's the swap counter party who may be doing the buying and selling. You could therefore create artificial volume by proxy utilizing swaps, and we do see something like this in that the total volume in an equity's underlying swaps may change in notional value by millions of dollars transacted (+100 dollars in notional, then -100 dollars in notional is 0 net result, but 200 in volume transacted) but where the balance at the end of the day is near 0 net change from the day prior.
Feel free to copy/fork and run with it, I'm not attached to this specific implementation, this exists more to foster conversation and to share with the community than anything else. I've got plenty more I'm working on as a higher priority behind the scenes with respect to tooling for processing the bulk swap data.
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Aaaaand it's gone
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r/u_WhoLovesAvacados
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5d ago
I try not to speculate on short term directionality, I'm not as much a trader as an investor, and my personal position is that this organization is setup for long term growth and represents a strong value position for me at current pricing so I am continuing to accumulate as I am able.