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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR APR 1
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USK USM TYK TYM FVK FVM EDJ EDM
11:00 6.40% 6.54% 3.63% 3.69% 2.62% 2.57% 14.00% 10.60%
9:30 6.81% 6.77% 3.82% 3.78% 2.71% 2.63% 14.30% 10.77%
MON OPEN 6.81% 6.81% 3.97% 3.83% 2.74% 2.66% 13.55% 11.01%
FRI 3:00 6.84% 6.96% 3.91% 3.91% 2.83% 2.71% 12.85% 11.47%
FRI OPEN 7.01% 7.02% 4.03% 3.92% 2.86% 2.75% 14.22% 11.19%
THU 3:00 7.09% 7.03% 4.05% 3.94% 2.86% 2.75% 14.71% 11.19%
THU OPEN 7.37% 7.17% 4.25% 4.13% 2.98% 2.83% 16.75% 11.95%
WED 3:00 7.37% 7.17% 4.25% 4.13% 2.98% 2.83% 16.75% 11.95%
WED OPEN 7.18% 7.03% 4.23% 4.08% 3.01% 2.83% 16.40% 11.38%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
MAY19 10Y NOTE 124.50 C 88,057 -1,889 122.00 P 87,406 +372
JUN19 10Y NOTE 124.50 C 67,006 +3,942 122.50 P 94,337 +4,872
MAY19 5Y NOTE 115.50 C 51,485 +36 112.25 P 97,659 UNCH
JUN19 5Y NOTE 116.50 C 35,792 +13,159 108.25 P 151,557 UNCH
MAY19 2Y NOTE 106.50 C 16,169 UNCH 106.25 P 17,962 -6,967
JUN19 2Y NOTE 106.50 C 15,447 -100 106.25 P 46,076 +14
APR19 EURODLR 97.37 C 161,045 +124 97.37 P 79,613 +522
JUN19 EURODLR 97.37 C 491,937 -17,794 96.75 P 728,209 UNCH
JUN19 1Y-MIDC 98.00 C 176,397 -496 97.00 P 141,023 UNCH
JUN20 2Y-MIDC 97.75 C 86,153 UNCH 97.50 P 106,989 UNCH
JUN21 3Y-MIDC 97.75 C 101,170 +1,504 97.62 P 81,309 -163
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
MAY19 10Y NOTE 124.50 C 88,057 -1,889 124.50 P 22,753 -1,380
MAY19 10Y NOTE 125.00 C 67,219 +2,442 125.00 P 1,202 +93
JUN19 10Y NOTE 124.50 C 67,006 +3,942 124.50 P 22,172 +777
JUN19 10Y NOTE 125.00 C 41,183 +1,339 125.00 P 9,823 +1,096
MAY19 5Y NOTE 116.00 C 40,450 -248 116.00 P 22,445 UNCH
MAY19 5Y NOTE 116.25 C 43,839 +2,478 116.25 P 10,473 -228
JUN19 5Y NOTE 116.00 C 20,825 +1,117 116.00 P 14,954 +78
JUN19 5Y NOTE 116.25 C 26,504 +858 116.25 P 2,927 -84
MAY19 2Y NOTE 106.62 C 6,799 +1,801 106.62 P 8,766 -1,553
MAY19 2Y NOTE 106.75 C 8,642 UNCH 106.75 P 131 UNCH
JUN19 2Y NOTE 106.62 C 2,171 -8 106.62 P 3,242 UNCH
JUN19 2Y NOTE 106.75 C 6,572 +370 106.75 P 2,000 UNCH
APR19 EURODLR 97.25 C 93,688 -124 97.25 P 68,836 UNCH
APR19 EURODLR 97.37 C 161,045 +124 97.37 P 79,613 +522
JUN19 EURODLR 97.25 C 295,638 UNCH 97.25 P 294,683 -7,000
JUN19 EURODLR 97.37 C 491,937 -17,794 97.37 P 220,977 +694
JUN20 1Y-MIDC 97.50 C 75,327 UNCH 97.50 P 120,129 -1,419
JUN20 1Y-MIDC 97.62 C 54,567 UNCH 97.62 P 112,244 +13,077
JUN21 2Y-MIDC 97.62 C 25,672 UNCH 97.62 P 28,474 UNCH
JUN21 2Y-MIDC 97.75 C 86,153 UNCH 97.75 P 40,893 -216
JUN22 3Y-MIDC 97.62 C 14,149 UNCH 97.62 P 81,309 -163
JUN22 3Y-MIDC 97.75 C 101,170 +1,504 97.75 P 51,611 +1,000
PUT/CALL RATIO FOR VOLUME CLEARED:
MAY19 10Y NOTE PUT/CALL RATIO -- 0.93 (113,884 PUTS VS. 122,400 CALLS)
JUN19 10Y NOTE PUT/CALL RATIO -- 0.80 (66,910 PUTS VS. 83,022 CALLS)
MAY19 5Y NOTE PUT/CALL RATIO -- 1.02 (39,447 PUTS VS. 38,457 CALLS)
JUN19 5Y NOTE PUT/CALL RATIO -- 0.44 (30,251 PUTS VS. 67,416 CALLS)
MAY19 2Y NOTE PUT/CALL RATIO -- 0.80 (9,425 PUTS VS. 11,716 CALLS)
JUN19 2Y NOTE PUT/CALL RATIO -- 0.69 (2,929 PUTS VS. 4,234 CALLS)
APR19 EURODLRS PUT/CALL RATIO -- 0.04 (1,350 PUTS VS. 28,964 CALLS)
JUN19 EURODLRS PUT/CALL RATIO -- 0.09 (30,676 PUTS VS. 329,389 CALLS)
JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.60 (92,339 PUTS VS. 57,655 CALLS)
JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 1.01 (7,394 PUTS VS. 7,285 CALLS)
JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 1.12 (4,389 PUTS VS. 3,900 CALLS)
(VOLUME, OPEN INTEREST, RATIOS 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
11:00 57.65 57.73 59.82 55.82 60.89 66.99
9:30 59.15 59.19 59.89 56.71 60.99 66.94
Mon Open 59.19 59.23 60.11 57.05 61.19 67.21
Fri 3:00 59.47 59.65 60.46 57.36 61.32 67.50
Fri Open 59.99 60.33 61.41 58.11 61.55 67.93
Thu 3:00 60.43 61.21 62.14 58.60 61.84 68.04
Thu Open 60.95 63.01 64.12 60.04 62.37 67.90
Wed 3:00 60.95 63.01 64.12 60.04 62.37 67.90
Wed Open 54.79 60.45 59.44 57.88 60.71 66.39
--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.