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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USJ USM TYH TYJ FVH TUJ EDH EDJ
Thu 3:00 8.36% 8:23% 4.78% 4.49% 3.01% 2.79% 16.70% 14.69%
1:30 8.36% 8:21% 4.62% 4.36% 2.92% 2.76% 14.55% 13.52%
12:45 8.11% 8:08% 4.51% 4.31% 2.90% 2.75% 14.77% 14.15%
11:30 8.23% 8:17% 4.57% 4.38% 2.93% 2.75% 13.89% 14.60%
9:30 8.19% 8:24% 4.56% 4.34% 2.92% 2.75% 14.72% 13.77%
THU OPEN 8.38% 8:31% 4.59% 4.39% 3.03% 2.81% 14.74% 14.58%
WED 3:00 8.31% 8:26% 4.57% 4.36% 2.97% 2.80% 15.43% 14.47%
WED OPEN 8.25% 8:09% 4.64% 4.28% 3.08% 2.79% 15.83% 13.45%
TUE 3:00 8.41% 8:21% 4.66% 4.35% 3.13% 2.79% 17.28% 16.25%
TUE OPEN 8.51% 8:16% 4.61% 4.32% 3.01% 2.75% 16.45% 16.10%
MON 3:00 8.54% 8:26% 4.62% 4.37% 3.02% 2.75% 16.70% 14.95%
MON OPEN 8.72% 8:26% 4.65% 4.33% 3.16% 2.79% 16.75% 15.60%
FRI 3:00 8.65% N/A 4.54% N/A 3.05% N/A 16.10% 14.60%
FRI OPEN 8.50% N/A 4.47% N/A 2.97% N/A 15.13% 14.65%
THU 3:00 8.63% N/A 4.58% N/A 2.99% N/A 15.80% 13.90%
THU OPEN 8.50% N/A 4.43% N/A 2.86% N/A 16.80% 15.70%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
APR18 10Y NOTE 122.50 C 99,893 -5,802 119.50 P 207,564 -2,812
JUN18 10Y NOTE 122.00 C 59,515 +8,688 108.50 P 107,516 +146
APR18 5Y NOTE 114.50 C 82,907 +3,278 113.50 P 31,480 +2,507
JUN18 5Y NOTE 116.00 C 8,882 UNCH 105.50 P 153,493 +1,390
APR18 2Y NOTE 106.62 C 19,066 UNCH 105.50 P 6,550 UNCH
JUN18 2Y NOTE 106.75 C 13,281 UNCH 106.12 P 30,000 UNCH
MAR18 EURODLR 98.50 C 480,031 UNCH 98.25 P 267,964 -9,572
APR18 EURODLR 98.37 C 235,881 UNCH 98.00 P 268,886 UNCH
MAR19 1Y-MIDC 98.25 C 217,995 UNCH 97.50 P 259,566 -187
MAR20 2Y-MIDC 97.37 C 153,414 +14,250 97.37 P 202,363 +69
MAR21 3Y-MIDC 97.50 C 97,313 -100 97.37 P 91,790 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
APR18 10Y NOTE 120.00 C 38,428 +3,620 120.00 P 78,135 -3,074
APR18 10Y NOTE 120.50 C 94,409 +4,604 120.50 P 45,636 -394
JUN18 10Y NOTE 120.00 C 22,598 +5,134 120.00 P 38,961 +826
JUN18 10Y NOTE 120.50 C 13,932 -50 120.50 P 18,709 +200
APR18 5Y NOTE 114.25 C 23,263 -6 114.25 P 13,871 UNCH
APR18 5Y NOTE 114.50 C 82,907 +3,278 114.50 P 23,121 UNCH
JUN18 5Y NOTE 114.25 C 6,086 UNCH 114.25 P 5,910 UNCH
JUN18 5Y NOTE 114.50 C 6,002 UNCH 114.50 P 18,380 UNCH
APR18 2Y NOTE 106.38 C 1,737 UNCH 106.38 P 849 UNCH
APR18 2Y NOTE 106.50 C 8,507 +3,390 106.50 P 1,906 UNCH
JUN18 2Y NOTE 106.38 C 1,363 UNCH 106.38 P 30,000 UNCH
JUN18 2Y NOTE 106.50 C 142 UNCH 106.50 P 1,800 UNCH
MAR18 EURODLR 97.87 C 18,911 +1,375 97.87 P 215,561 -9,014
MAR18 EURODLR 98.00 C 83,337 +1 98.00 P 240,591 UNCH
APR18 EURODLR 97.75 C 30,354 +9,428 97.75 P 133,947 -2,029
APR18 EURODLR 97.87 C 117,350 +8,879 97.87 P 244,784 UNCH
MAR19 1Y-MIDC 97.37 C 23,876 +1,861 97.37 P 198,475 -100
MAR19 1Y-MIDC 97.50 C 137,932 +164 97.50 P 259,566 -187
MAR20 2Y-MIDC 97.00 C 6,821 UNCH 97.00 P 163,936 -20,264
MAR20 2Y-MIDC 97.12 C 41,003 +4,733 97.12 P 117,502 -7,165
MAR21 3Y-MIDC 96.87 C 1,750 UNCH 96.87 P 49,626 +360
MAR21 3Y-MIDC 97.00 C 18,975 UNCH 97.00 P 73,731 -166
PUT/CALL RATIO FOR VOLUME CLEARED:
APR18 10Y NOTE PUT/CALL RATIO -- 0.79 (113,181 PUTS VS. 142,995 CALLS)
JUN18 10Y NOTE PUT/CALL RATIO -- 0.42 (43,457 PUTS VS. 104,400 CALLS)
APR18 5Y NOTE PUT/CALL RATIO -- 1.01 (31,863 PUTS VS. 31,662 CALLS)
JUN18 5Y NOTE PUT/CALL RATIO -- 2.04 (13,359 PUTS VS. 6,494 CALLS)
APR18 2Y NOTE PUT/CALL RATIO -- 0.25 (2,700 PUTS VS. 10,488 CALLS)
JUN18 2Y NOTE PUT/CALL RATIO -- 0.00 (1,178 PUTS VS. 0 CALLS)
MAR18 EURODLRS PUT/CALL RATIO -- 16.6 (49,838 PUTS VS. 3,008 CALLS)
APR18 EURODLRS PUT/CALL RATIO -- 0.50 (66,885 PUTS VS. 133,572 CALLS)
MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 2.72 (15,500 PUTS VS. 5,700 CALLS)
MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 1.18 (42,270 PUTS VS. 35,600 CALLS)
MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 4.72 (5,201 PUTS VS. 1,100 CALLS)
(VOLUME, OPEN INTEREST, PUT/CALL RATIOS FOR VOLUME CLEARED ALL REFLECT PRIOR
SESSION'S DATA.)
Swaption BP/Vol Via Bloomberg:
Time (ET) 3M/2Y 1M/10Y 3M/5Y 3M/10Y 2Y/10Y 5Y/5Y
Thu 3:00 51.01 67.27 65.81 67.60 71.82 73.37
1:30 50.54 66.35 65.34 67.19 71.78 73.36
12:45 50.53 66.33 65.32 67.16 71.77 73.36
11:30 50.55 66.44 65.37 67.20 71.69 73.34
9:30 50.74 66.71 65.15 67.17 71.66 73.31
Thu Open 50.66 66.96 64.95 67.11 71.66 73.33
Wed 3:00 50.80 68.76 65.51 67.54 71.80 73.34
Wed Open 50.83 68.74 65.24 67.47 71.77 73.29
Tue 3:00 51.01 70.20 65.32 67.74 71.76 73.43
Tue Open 50.25 69.93 64.38 67.15 71.34 73.20
Mon 3:00 50.23 69.73 64.02 66.94 71.18 73.10
Mon Open 50.20 69.98 64.33 66.98 71.00 73.19
Fri 3:00 49.89 69.47 63.79 66.70 70.83 72.80
Fri Open 49.54 67.88 63.07 65.91 70.44 72.66
Thu 3:00 49.72 67.94 63.46 66.53 70.80 72.98
Thu Open 50.04 67.73 63.87 66.92 71.04 73.16
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]
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Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.