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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR APR 16
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USK USM TYK TYM FVK FVM EDK EDM
TUE 3:00 5.82% 5.87% 3.22% 3.34% 2.19% 2.21% 6.80% 5.92%
1:45 5.73% 5.80% 3.25% 3.35% 2.17% 2.20% 7.40% 5.69%
12:15 5.70% 5.83% 3.15% 3.32% 2.12% 2.17% 7.45% 5.50%
11:00 5.72% 5.78% 3.07% 3.28% 2.11% 2.16% 6.95% 5.50%
9:00 5.68% 5.69% 3.10% 3.27% 2.10% 2.15% 7.07% 5.65%
TUE OPEN 5.61% 5.67% 3.11% 3.25% 2.06% 2.14% 7.22% 5.95%
MON 3:00 5.53% 5.62% 3.15% 3.25% 2.05% 2.14% 7.42% 6.20%
MON OPEN 5.74% 5.66% 3.35% 3.30% 2.13% 2.19% 7.75% 6.20%
FRI 3:00 5.31% 5.61% 3.09% 3.24% 2.00% 2.15% 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%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
MAY19 10Y NOTE 124.00 C 135,224 +3,924 123.00 P 109,881 -3,295
JUN19 10Y NOTE 124.50 C 126,820 +928 122.50 P 150,393 +7,213
MAY19 5Y NOTE 116.25 C 58,118 UNCH 112.25 P 97,659 UNCH
JUN19 5Y NOTE 116.25 C 47,351 -74 108.25 P 151,203 UNCH
MAY19 2Y NOTE 106.75 C 8,392 UNCH 106.25 P 14,872 UNCH
JUN19 2Y NOTE 106.75 C 15,568 UNCH 106.25 P 58,801 -1
MAY19 EURODLR 97.37 C 45,517 -100 97.25 P 64,254 UNCH
JUN19 EURODLR 97.62 C 449,589 +750 96.75 P 728,209 UNCH
JUN19 1Y-MIDC 98.00 C 182,723 +250 97.62 P 172,995 +246
JUN20 2Y-MIDC 97.75 C 87,687 +800 97.50 P 113,923 +205
JUN21 3Y-MIDC 97.75 C 93,617 UNCH 97.62 P 84,057 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
MAY19 10Y NOTE 123.50 C 64,323 +2,810 123.50 P 67,932 +150
MAY19 10Y NOTE 124.00 C 135,224 +3,924 124.00 P 37,249 +50
JUN19 10Y NOTE 123.50 C 59,379 +19,793 123.50 P 55,580 -22,999
JUN19 10Y NOTE 124.00 C 77,691 +21,495 124.00 P 21,375 -2
MAY19 5Y NOTE 115.25 C 25,070 +6,535 115.25 P 39,299 -1,965
MAY19 5Y NOTE 115.50 C 40,549 -1,670 115.50 P 25,093 UNCH
JUN19 5Y NOTE 115.25 C 34,491 UNCH 115.25 P 41,840 UNCH
JUN19 5Y NOTE 115.50 C 17,870 +1,352 115.50 P 33,894 +800
MAY19 2Y NOTE 106.50 C 7,321 -2 106.50 P 3,302 UNCH
MAY19 2Y NOTE 106.62 C 6,891 UNCH 106.62 P 6,199 UNCH
JUN19 2Y NOTE 106.50 C 15,344 -64 106.50 P 14,982 +86
JUN19 2Y NOTE 106.62 C 8,140 UNCH 106.62 P 3,242 UNCH
MAY19 EURODLR 97.25 C 6,227 UNCH 97.25 P 64,254 UNCH
MAY19 EURODLR 97.37 C 45,517 -100 97.37 P 49,073 -100
JUN19 EURODLR 97.25 C 259,720 UNCH 97.25 P 293,894 UNCH
JUN19 EURODLR 97.37 C 397,787 +500 97.37 P 246,326 +2,600
JUN20 1Y-MIDC 97.50 C 77,832 +750 97.50 P 146,961 +6,376
JUN20 1Y-MIDC 97.62 C 57,322 +760 97.62 P 172,995 +246
JUN21 2Y-MIDC 97.62 C 27,752 +910 97.62 P 31,378 +910
JUN21 2Y-MIDC 97.75 C 87,687 +800 97.75 P 70,931 -700
JUN22 3Y-MIDC 97.62 C 14,099 -50 97.62 P 84,057 UNCH
JUN22 3Y-MIDC 97.75 C 93,617 UNCH 97.75 P 47,717 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
MAY19 10Y NOTE PUT/CALL RATIO -- 0.99 (77,731 PUTS VS. 78,203 CALLS)
JUN19 10Y NOTE PUT/CALL RATIO -- 0.80 (120,424 PUTS VS. 150,401 CALLS)
MAY19 5Y NOTE PUT/CALL RATIO -- 1.22 (51,615 PUTS VS. 42,244 CALLS)
JUN19 5Y NOTE PUT/CALL RATIO -- 0.88 (15,273 PUTS VS. 17,211 CALLS)
MAY19 2Y NOTE PUT/CALL RATIO -- 156.0 (468 PUTS VS. 3 CALLS)
JUN19 2Y NOTE PUT/CALL RATIO -- 1.40 (1,406 PUTS VS. 1,048 CALLS)
MAY19 EURODLRS PUT/CALL RATIO -- 0.50 (101 PUTS VS. 200 CALLS)
JUN19 EURODLRS PUT/CALL RATIO -- 0.37 (7,730 PUTS VS. 20,332 CALLS)
JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.52 (47,504 PUTS VS. 31,160 CALLS)
JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.38 (4,115 PUTS VS. 10,630 CALLS)
JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 1.16 (15,250 PUTS VS. 13,050 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
Tue 3:00 48.03 51.38 53.88 51.57 57.75 62.71
1:45 47.89 51.34 53.75 51.45 57.76 62.78
12:15 47.79 51.32 53.81 51.51 57.90 62.93
11:00 47.86 51.32 53.81 51.51 57.91 62.99
9:00 47.70 51.06 53.57 51.26 57.90 63.04
Tue Open 47.69 50.46 53.51 51.18 57.97 63.23
Mon 3:00 48.49 50.53 53.84 51.43 58.19 63.39
Mon Open 48.96 50.43 54.09 51.58 58.46 63.83
Fri 3:00 48.56 49.60 53.88 51.27 58.39 63.97
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
--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.