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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR APR 11
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USK USM TYK TYM FVK FVM EDJ EDM
THU 3:00 5.18% 5.60% 2.90% 3.14% 1.90% 2.07% N/A 8.44%
12:45 5.29% 5.59% 2.91% 3.17% 1.88% 2.09% N/A 8.44%
10:30 5.21% 5.55% 2.91% 3.11% 1.85% 2.10% N/A 8.35%
THU OPEN 5.49% 5.70% 3.02% 3.15% 1.99% 2.14% N/A 7.85%
WED 3:00 5.55% 5.80% 3.08% 3.23% 2.03% 2.19% N/A 8.71%
WED OPEN 5.70% 5.90% 3.20% 3.30% 2.15% 2.21% N/A 8.35%
TUE 3:00 5.80% 5.98% 3.24% 3.34% 2.18% 2.24% N/A 8.44%
TUE OPEN 5.99% 6.08% 3.23% 3.34% 2.17% 2.25% N/A 8.45%
FRI 3:00 5.79% 6.07% 3.13% 3.36% 2.11% 2.24% 13.25% 4.65%
FRI OPEN 6.05% 6.16% 3.34% 3.45% 2.27% 2.30% 12.98% 8.80%
THU 3:00 6.06% 6.31% 3.42% 3.46% 2.32% 2.38% 15.95% 8.88%
THU OPEN 5.97% 6.31% 3.45% 3.47% 2.35% 2.38% 14.75% 9.03%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
MAY19 10Y NOTE 124.00 C 99,504 +6,611 123.00 P 104,579 -2,718
JUN19 10Y NOTE 124.50 C 99,217 +37,443 122.50 P 113,842 +46
MAY19 5Y NOTE 116.25 C 58,653 UNCH 112.25 P 97,659 UNCH
JUN19 5Y NOTE 116.50 C 55,552 +3,889 108.25 P 151,203 -356
MAY19 2Y NOTE 106.75 C 8,392 UNCH 106.25 P 16,780 -2,431
JUN19 2Y NOTE 106.75 C 17,056 UNCH 106.25 P 58,802 -57
APR19 EURODLR 97.37 C 161,638 UNCH 97.37 P 80,033 UNCH
JUN19 EURODLR 97.75 C 410,670 +2,936 96.75 P 728,209 UNCH
JUN19 1Y-MIDC 98.00 C 187,709 +1,883 97.62 P 151,234 +1,800
JUN20 2Y-MIDC 97.75 C 85,887 +166 97.50 P 113,568 -194
JUN21 3Y-MIDC 97.75 C 93,293 UNCH 97.62 P 82,205 +288
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
MAY19 10Y NOTE 123.50 C 58,743 +1,342 123.50 P 62,954 +524
MAY19 10Y NOTE 124.00 C 99,504 +6,611 124.00 P 37,354 +235
JUN19 10Y NOTE 123.50 C 38,755 +595 123.50 P 79,844 +3,909
JUN19 10Y NOTE 124.00 C 50,255 +3,416 124.00 P 20,892 -1,206
MAY19 5Y NOTE 115.25 C 16,982 -4 115.25 P 42,138 +140
MAY19 5Y NOTE 115.50 C 50,767 -34 115.50 P 26,988 -863
JUN19 5Y NOTE 115.25 C 12,022 -6 115.25 P 40,204 -281
JUN19 5Y NOTE 115.50 C 17,339 +1 115.50 P 33,991 +3,915
MAY19 2Y NOTE 106.50 C 7,923 UNCH 106.50 P 3,302 UNCH
MAY19 2Y NOTE 106.62 C 6,892 -4 106.62 P 6,265 -1,250
JUN19 2Y NOTE 106.50 C 15,404 +68 106.50 P 14,897 -550
JUN19 2Y NOTE 106.62 C 8,176 UNCH 106.62 P 3,242 UNCH
APR19 EURODLR 97.25 C 93,688 UNCH 97.25 P 68,836 UNCH
APR19 EURODLR 97.37 C 161,638 UNCH 97.37 P 80,033 UNCH
JUN19 EURODLR 97.25 C 260,720 -15,167 97.25 P 294,394 -800
JUN19 EURODLR 97.37 C 402,134 -49,914 97.37 P 243,756 +418
JUN20 1Y-MIDC 97.50 C 75,122 +697 97.50 P 140,835 +2,066
JUN20 1Y-MIDC 97.62 C 55,882 -185 97.62 P 151,234 +1,800
JUN21 2Y-MIDC 97.62 C 26,842 UNCH 97.62 P 30,468 +2,244
JUN21 2Y-MIDC 97.75 C 85,887 +166 97.75 P 56,891 +5,913
JUN22 3Y-MIDC 97.62 C 14,149 UNCH 97.62 P 82,205 +288
JUN22 3Y-MIDC 97.75 C 93,293 UNCH 97.75 P 57,834 +288
PUT/CALL RATIO FOR VOLUME CLEARED:
MAY19 10Y NOTE PUT/CALL RATIO -- 0.34 (71,829 PUTS VS. 206,128 CALLS)
JUN19 10Y NOTE PUT/CALL RATIO -- 0.66 (58,420 PUTS VS. 87,821 CALLS)
MAY19 5Y NOTE PUT/CALL RATIO -- 0.55 (6,838 PUTS VS. 11,465 CALLS)
JUN19 5Y NOTE PUT/CALL RATIO -- 0.69 (34,313 PUTS VS. 49,718 CALLS)
MAY19 2Y NOTE PUT/CALL RATIO -- 9.41 (3,802 PUTS VS. 404 CALLS)
JUN19 2Y NOTE PUT/CALL RATIO -- 44.5 (8,643 PUTS VS. 194 CALLS)
APR19 EURODLRS PUT/CALL RATIO -- 0.00 (0 PUTS VS. 0 CALLS)
JUN19 EURODLRS PUT/CALL RATIO -- 0.04 (6,450 PUTS VS. 159,514 CALLS)
JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.61 (24,117 PUTS VS. 39,378 CALLS)
JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 3.71 (24,929 PUTS VS. 6,720 CALLS)
JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (1,614 PUTS VS. 0 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
Thu 3:00 48.60 48.93 53.47 50.73 58.07 63.99
12:45 48.59 48.74 53.39 50.41 58.03 64.00
10:30 48.78 49.41 53.56 50.84 58.01 63.97
Thu Open 49.94 49.95 54.10 51.62 58.19 64.05
Wed 3:00 49.82 50.65 54.12 51.65 57.98 63.75
Wed Open 49.50 51.08 54.43 52.04 58.13 63.66
Tue 3:00 49.28 50.66 53.99 51.69 57.68 63.57
Tue Open 49.24 50.40 53.72 51.48 57.63 63.57
Fri 3:00 53.44 51.17 55.27 53.04 58.23 64.05
Fri Open 54.52 53.41 56.41 54.24 58.53 64.37
Thu 3:00 54.96 53.84 56.48 54.20 58.54 64.28
Thu Open 55.44 55.37 57.01 54.81 59.21 64.77
Wed 3:00 55.50 56.02 57.13 54.90 59.41 65.08
Wed Open 56.20 55.54 57.60 55.00 60.04 66.06
--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.