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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR APR 21
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USM USN TYM TYN FVM FVN EDK EDM
3:00 7.26% 7.41% 3.82% 3.95% 2.32% 2.51% 11.27% 10.82%
11:00 7.29% 7.06% 3.70% 3.79% 2.32% 2.46% 11.72% 11.46%
MON OPEN 7.53% 7.22% 3.84% 3.82% 2.37% 2.70% 11.69% 11.45%
FRI 3:00 7.02% N/A 3.44% N/A 2.26% N/A N/A 11.20%
FRI OPEN 7.16% N/A 3.55% N/A 2.29% N/A N/A 12.50%
THU 3:00 7.19% N/A 3.52% N/A 2.27% N/A 12.34% 12.39%
THU OPEN 6.92% N/A 3.48% N/A 2.21% N/A 12.29% 12.39%
WED 3:00 6.66% N/A 3.38% N/A 2.26% N/A 13.12% 12.61%
WED OPEN 6.62% N/A 3.41% N/A 2.19% N/A 13.07% 12.61%
TUE 3:00 6.63% N/A 3.38% N/A 2.14% N/A 13.85% 12.85%
TUE Open 6.71% N/A 3.41% N/A 2.20% N/A 12.98% 12.73%
Mon 3:00 6.96% N/A 3.50% N/A 2.24% N/A 14.65% 13.40%
MON OPEN 6.91% N/A 3.59% N/A 2.28% N/A 14.53% 13.98%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUN18 10Y NOTE 122.00 C 122,050 -980 119.00 P 148,797 +36,804
JUL18 10Y NOTE 122.00 C 15,825 +2,612 118.00 P 12,552 +2,779
JUN18 5Y NOTE 114.75 C 47,824 +485 105.50 P 156,003 UNCH
JUL18 5Y NOTE 114.25 C 5,583 +1,000 113.50 P 5,055 +20
JUN18 2Y NOTE 106.80 C 58,101 UNCH 106.12 P 30,237 UNCH
JUL18 2Y NOTE 106.60 C 42,050 UNCH 105.80 P 673 +373
MAY18 EURODLR 97.87 C 140,464 UNCH 97.62 P 189,014 -1,267
JUN18 EURODLR 98.12 C 395,376 UNCH 97.50 P 586,270 -938
JUN19 1Y-MIDC 97.50 C 237,833 +4,307 97.12 P 596,769 -10,797
JUN20 2Y-MIDC 97.37 C 151,744 UNCH 96.75 P 217,734 -469
JUN21 3Y-MIDC 98.00 C 138,150 -250 97.25 P 145,831 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUN18 10Y NOTE 119.00 C 2,459 +80 119.00 P 148,797 +36,804
JUN18 10Y NOTE 119.50 C 15,149 +5,856 119.50 P 103,771 +2,841
JUL18 10Y NOTE 119.00 C 54 +53 119.00 P 10,190 +114
JUL18 10Y NOTE 119.50 C 2,271 +1,303 119.50 P 3,246 +1,292
JUN18 5Y NOTE 113.00 C 75 +4 113.00 P 45,516 -240
JUN18 5Y NOTE 113.50 C 8,544 +7,616 113.50 P 48,491 +3,076
JUL18 5Y NOTE 113.00 C 0 UNCH 113.00 P 3,297 UNCH
JUL18 5Y NOTE 113.50 C 3,691 +9 113.50 P 5,055 +20
JUN18 2Y NOTE 106.00 C 778 +777 106.00 P 7,103 +31
JUN18 2Y NOTE 106.12 C 3,343 +41 106.12 P 30,237 UNCH
JUL18 2Y NOTE 106.00 C 53 UNCH 106.00 P 60 +4
JUL18 2Y NOTE 106.12 C 0 UNCH 106.12 P 1 UNCH
MAY18 EURODLR 97.75 C 62,819 +1,500 97.75 P 84,581 UNCH
MAY18 EURODLR 97.87 C 140,464 UNCH 97.87 P 15,579 +1
JUN18 EURODLR 97.75 C 318,641 -1,956 97.75 P 404,854 UNCH
JUN18 EURODLR 97.87 C 381,328 UNCH 97.87 P 372,286 UNCH
JUN19 1Y-MIDC 97.37 C 124,849 +3,978 97.37 P 340,094 UNCH
JUN19 1Y-MIDC 97.50 C 237,833 +4,307 97.50 P 122,585 UNCH
JUN20 2Y-MIDC 97.00 C 23,643 +650 97.00 P 105,996 -1,025
JUN20 2Y-MIDC 97.12 C 53,072 +90 97.12 P 102,248 -100
JUN21 3Y-MIDC 96.87 C 1,019 +70 96.87 P 39,835 +48
JUN21 3Y-MIDC 97.00 C 35,480 +240 97.00 P 75,599 +2,022
PUT/CALL RATIO FOR VOLUME CLEARED:
JUN18 10Y NOTE PUT/CALL RATIO -- 1.81 (263,760 PUTS VS. 146,019 CALLS)
JUL18 10Y NOTE PUT/CALL RATIO -- 1.45 (25,641 PUTS VS. 17,632 CALLS)
JUN18 5Y NOTE PUT/CALL RATIO -- 1.46 (43,769 PUTS VS. 29,892 CALLS)
JUL18 5Y NOTE PUT/CALL RATIO -- 1.45 (6,728 PUTS VS. 4,637 CALLS)
JUN18 2Y NOTE PUT/CALL RATIO -- 0.25 (2,837 PUTS VS. 11,285 CALLS)
JUL18 2Y NOTE PUT/CALL RATIO -- 1.06 (394 PUTS VS. 373 CALLS)
MAY18 EURODLRS PUT/CALL RATIO -- 1.00 (13,059 PUTS VS. 13,050 CALLS)
JUN18 EURODLRS PUT/CALL RATIO -- 3.55 (64,407 PUTS VS. 18,161 CALLS)
JUN19 1Y-MIDCRVE PUT/CALL RATIO -- 0.61 (30,000 PUTS VS. 49,500 CALLS)
JUN20 2Y-MIDCRVE PUT/CALL RATIO -- 1.67 (5,250 PUTS VS. 3,150 CALLS)
JUN21 3Y-MIDCRVE PUT/CALL RATIO -- 1.00 (11,825 PUTS VS. 11,825 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
3:00 47.74 59.37 58.24 60.17 69.39 73.16
11:00 47.71 58.89 57.78 59.81 69.39 73:14
MON OPEN 47.30 58.80 57.81 59.70 69.30 73.10
FRI 3:00 47.18 57.82 57.37 59.23 68.99 73.11
FRI OPEN 46.83 56.18 56.22 58.41 68.43 72.70
THU 3:00 47.26 55.44 55.86 57.91 68.31 72.68
Thu Open 46.63 54.92 55.37 56.94 67.84 72.51
Wed 3:00 46.64 54.62 54.56 56.38 67.69 72.37
Wed Open 46.21 54.00 54.29 56.13 67.67 72.48
Tue 3:00 46.80 54.49 55.14 56.64 68.14 72.69
Tue Open 48.67 55.01 56.56 57.48 68.88 73.25
Mon 3:00 48.75 55.52 56.88 57.82 69.04 73.33
Mon Open 49.17 55.96 57.81 58.49 69.35 73.66
--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@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.