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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR APR 2
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USK USM TYK TYM FVK TUM EDJ EDM
MON OPEN 7.78% 7.81% 4.06% 4.04% 2.67% 2.55% 24.94% 17.84%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
MAY18 10Y NOTE 121.50 C 100,440 +2,009 120.00 P 75,327 +3,274
JUN18 10Y NOTE 122.00 C 91,234 -2,130 108.50 P 113,574 UNCH
MAY18 5Y NOTE 114.50 C 80,145 +1,627 111.00 P 45,740 UNCH
JUN18 5Y NOTE 114.75 C 21,581 -714 105.50 P 156,003 UNCH
MAY18 2Y NOTE 106.75 C 83,993 +450 106.00 P 12,947 +300
JUN18 2Y NOTE 106.75 C 10,946 UNCH 106.12 P 30,005 UNCH
APR18 EURODLR 98.00 C 236,789 UNCH 98.00 P 268,886 UNCH
JUN18 EURODLR 98.00 C 354,833 +1,722 97.50 P 481,520 +20,031
JUN19 1Y-MIDC 97.50 C 226,746 -367 97.12 P 520,821 +13,962
JUN20 2Y-MIDC 97.87 C 128,303 UNCH 96.75 P 200,543 UNCH
JUN21 3Y-MIDC 98.00 C 116,986 UNCH 97.25 P 149,483 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
MAY18 10Y NOTE 120.00 C 36,760 -18 120.00 P 75,327 +3,274
MAY18 10Y NOTE 120.50 C 51,465 +307 120.50 P 51,989 +1,363
JUN18 10Y NOTE 120.00 C 38,298 +314 120.00 P 55,806 +488
JUN18 10Y NOTE 120.50 C 24,889 -180 120.50 P 33,512 +4,388
MAY18 5Y NOTE 114.25 C 19,012 -72 114.25 P 12,587 +1,896
MAY18 5Y NOTE 114.50 C 80,145 +1,627 114.50 P 26,283 -5,774
JUN18 5Y NOTE 114.25 C 11,869 -120 114.25 P 12,932 -316
JUN18 5Y NOTE 114.50 C 8,411 +46 114.50 P 20,380 +1,967
MAY18 2Y NOTE 106.38 C 929 +11 106.38 P 674 UNCH
MAY18 2Y NOTE 106.50 C 9,892 UNCH 106.50 P 31 UNCH
JUN18 2Y NOTE 106.38 C 1,364 UNCH 106.38 P 30,000 UNCH
JUN18 2Y NOTE 106.50 C 673 UNCH 106.50 P 1,300 -500
APR18 EURODLR 97.75 C 123,862 +5,377 97.75 P 128,809 -125
APR18 EURODLR 97.87 C 213,696 -1,000 97.87 P 245,292 +14
JUN18 EURODLR 97.75 C 216,320 +500 97.75 P 454,651 +3,600
JUN18 EURODLR 97.89 C 345,899 +224 97.87 P 393,984 +100
JUN19 1Y-MIDC 97.37 C 101,058 -644 97.37 P 333,944 +6,206
JUN19 1Y-MIDC 97.50 C 226,746 -367 97.50 P 121,085 UNCH
JUN20 2Y-MIDC 97.00 C 23,993 UNCH 97.00 P 132,105 UNCH
JUN20 2Y-MIDC 97.12 C 52,697 UNCH 97.12 P 144,631 +200
JUN21 3Y-MIDC 96.87 C 450 UNCH 96.87 P 43,375 +4,000
JUN21 3Y-MIDC 97.00 C 26,914 UNCH 97.00 P 69,055 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
MAY18 10Y NOTE PUT/CALL RATIO -- 0.36 (56,943 PUTS VS. 153,954 CALLS)
JUN18 10Y NOTE PUT/CALL RATIO -- 1.37 (57,137 PUTS VS. 41,419 CALLS)
MAY18 5Y NOTE PUT/CALL RATIO -- 1.12 (35,124 PUTS VS. 31,365 CALLS)
JUN18 5Y NOTE PUT/CALL RATIO -- 1.88 (30,977 PUTS VS. 16,405 CALLS)
APR18 2Y NOTE PUT/CALL RATIO -- 0.12 (420 PUTS VS. 3,282 CALLS)
JUN18 2Y NOTE PUT/CALL RATIO -- 0.01 (38 PUTS VS. 3,332 CALLS)
APR18 EURODLRS PUT/CALL RATIO -- 2.67 (31,040 PUTS VS. 11,600 CALLS)
JUN18 EURODLRS PUT/CALL RATIO -- 3.19 (95,246 PUTS VS. 29,810 CALLS)
JUN19 1Y-MIDCRVE PUT/CALL RATIO -- 9.32 (46,674 PUTS VS. 5,000 CALLS)
JUN20 2Y-MIDCRVE PUT/CALL RATIO -- 0.28 (1,500 PUTS VS. 5,300 CALLS)
JUN21 3Y-MIDCRVE PUT/CALL RATIO -- 4.03 (10,500 PUTS VS. 2,650 CALLS)
(VOLUME, OPEN INTEREST, PUT/CALL RATIOS FOR VOLUME CLEARED 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 Open 52.38 61.80 63.25 64.86 71.39 74.76
--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.