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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR APR 12
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USK USM TYK TYM FVK FVM EDJ EDM
FRI 3:00 5.31% 5.61% 3.09% 3.24% 2.00% 2.15% N/A 5.50%
1:30 5.29% 5.58% 3.07% 3.24% 1.96% 2.12% N/A 5.50%
10:45 5.21% 5.51% 3.05% 3.17% 1.95% 2.12% N/A 5.50%
FRI OPEN 5.40% 5.64% 3.10% 3.22% 1.96% 2.12% N/A 5.88%
THU 3:00 5.18% 5.60% 2.90% 3.14% 1.90% 2.07% N/A 8.44%
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%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
MAY19 10Y NOTE 124.00 C 97,174 -2,330 123.00 P 103,820 -759
JUN19 10Y NOTE 124.50 C 101,265 +2,048 122.50 P 118,682 +4,840
MAY19 5Y NOTE 116.25 C 58,637 -16 112.25 P 97,659 UNCH
JUN19 5Y NOTE 116.50 C 51,737 -3,815 108.25 P 151,203 UNCH
MAY19 2Y NOTE 106.75 C 8,392 UNCH 106.25 P 16,780 UNCH
JUN19 2Y NOTE 106.75 C 15,568 -1,488 106.25 P 58,802 UNCH
APR19 EURODLR 97.37 C 162,305 +667 97.37 P 80,817 +784
JUN19 EURODLR 97.62 C 432,698 +66,836 96.75 P 728,209 UNCH
JUN19 1Y-MIDC 98.00 C 186,975 -734 97.62 P 159,608 +8,374
JUN20 2Y-MIDC 97.75 C 85,887 UNCH 97.50 P 113,818 +250
JUN21 3Y-MIDC 97.75 C 92,993 -300 97.62 P 83,857 +1,652
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
MAY19 10Y NOTE 123.50 C 58,619 -465 123.50 P 65,743 +2,789
MAY19 10Y NOTE 124.00 C 97,174 -2,330 124.00 P 37,191 -163
JUN19 10Y NOTE 123.50 C 37,835 -920 123.50 P 78,408 -1,436
JUN19 10Y NOTE 124.00 C 53,007 +2,752 124.00 P 20,900 +8
MAY19 5Y NOTE 115.25 C 16,985 +3 115.25 P 45,561 +3,423
MAY19 5Y NOTE 115.50 C 49,818 -949 115.50 P 25,722 -1,266
JUN19 5Y NOTE 115.25 C 12,023 +1 115.25 P 39,904 -300
JUN19 5Y NOTE 115.50 C 17,551 +212 115.50 P 33,817 -174
MAY19 2Y NOTE 106.50 C 8,024 +101 106.50 P 3,302 UNCH
MAY19 2Y NOTE 106.62 C 6,892 UNCH 106.62 P 6,265 UNCH
JUN19 2Y NOTE 106.50 C 15,404 UNCH 106.50 P 14,897 UNCH
JUN19 2Y NOTE 106.62 C 8,130 -46 106.62 P 3,242 UNCH
APR19 EURODLR 97.25 C 93,688 UNCH 97.25 P 68,836 UNCH
APR19 EURODLR 97.37 C 162,305 +667 97.37 P 80,817 +784
JUN19 EURODLR 97.25 C 259,470 -1,250 97.25 P 293,694 -700
JUN19 EURODLR 97.37 C 398,768 -3,366 97.37 P 243,001 -755
JUN20 1Y-MIDC 97.50 C 75,122 UNCH 97.50 P 137,678 -3,157
JUN20 1Y-MIDC 97.62 C 57,282 +1,400 97.62 P 159,608 +8,374
JUN21 2Y-MIDC 97.62 C 26,842 UNCH 97.62 P 30,468 UNCH
JUN21 2Y-MIDC 97.75 C 85,887 UNCH 97.75 P 66,565 +9,674
JUN22 3Y-MIDC 97.62 C 14,149 UNCH 97.62 P 83,857 +1,652
JUN22 3Y-MIDC 97.75 C 92,993 -300 97.75 P 48,217 -9,617
PUT/CALL RATIO FOR VOLUME CLEARED:
MAY19 10Y NOTE PUT/CALL RATIO -- 1.34 (78,749 PUTS VS. 58,584 CALLS)
JUN19 10Y NOTE PUT/CALL RATIO -- 1.23 (57,339 PUTS VS. 46,502 CALLS)
MAY19 5Y NOTE PUT/CALL RATIO -- 2.89 (24,608 PUTS VS. 8,499 CALLS)
JUN19 5Y NOTE PUT/CALL RATIO -- 0.84 (25,045 PUTS VS. 29,765 CALLS)
MAY19 2Y NOTE PUT/CALL RATIO -- 0.59 (565 PUTS VS. 956 CALLS)
JUN19 2Y NOTE PUT/CALL RATIO -- 0.22 (1,357 PUTS VS. 5,408 CALLS)
APR19 EURODLRS PUT/CALL RATIO -- 1.00 (2,000 PUTS VS. 2,000 CALLS)
JUN19 EURODLRS PUT/CALL RATIO -- 0.15 (34,750 PUTS VS. 232,614 CALLS)
JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 6.37 (51,077 PUTS VS. 8,015 CALLS)
JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.00 (21,987 PUTS VS. 0 CALLS)
JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 67.2 (50,411 PUTS VS. 750 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
Fri 3:00 48.56 49.60 53.88 51.27 58.39 63.97
1:30 48.49 49.59 53.79 51.27 58.39 63.98
10:45 48.34 49.43 53.65 51.17 58.29 63.94
Fri Open 48.42 48.84 53.52 50.82 58.16 63.99
Thu 3:00 48.60 48.93 53.47 50.73 58.07 63.99
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
--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.