Free Trial

US 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
MON 3:00    6.42%  6.59%   3.71%  3.70%   2.59%  2.57%   15.30%  9.15%
12:15       6.38%  6.55%   3.66%  3.71%   2.57%  2.56%   13.40%  10.77%
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
Mon 3:00    55.43    55.65    57.58    54.91    60.51     66.81
12:15       56.71    56.86    58.20    55.16    60.75     66.78
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$]

To read the full story

Close

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.