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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR APR 26
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USM USN TYM TYN FVM FVN EDK EDM
THU OPEN 7.75% 7.42% 3.83% 3.88% 2.36% 2.38% 12.25% 11.44%
WED 3:00 7.88% 7.94% 4.05% 4.18% 2.44% 2.18% 10.26% 10.85%
WED OPEN 7.67% 7.57% 4.01% 3.96% 2.50% 2.04% 10.17% 10.48%
TUE 3:00 7.36% 7.18% 3.83% 3.82% 2.37% 2.62% 10.37% 10.23%
TUE OPEN 7.22% 7.17% 3.82% 3.73% 2.39% 2.42% 12.36% 13.57%
MON 3:00 7.26% 7.41% 3.82% 3.95% 2.32% 2.51% 11.27% 10.82%
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%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUN18 10Y NOTE 121.50 C 115,844 +354 119.00 P 142,128 -10,050
JUL18 10Y NOTE 126.50 C 19,261 +2,326 118.00 P 27,877 +7,141
JUN18 5Y NOTE 114.00 C 37,261 +2,552 105.50 P 156,003 UNCH
JUL18 5Y NOTE 113.00 C 6,865 +1,900 113.00 P 9,668 +2,341
JUN18 2Y NOTE 106.80 C 58,101 UNCH 106.12 P 30,237 UNCH
JUL18 2Y NOTE 106.60 C 42,050 UNCH 105.50 P 6,006 UNCH
MAY18 EURODLR 97.87 C 140,464 UNCH 97.62 P 166,667 -6,098
JUN18 EURODLR 98.00 C 393,796 -500 97.50 P 551,816 +9,432
JUN19 1Y-MIDC 98.12 C 219,693 UNCH 97.12 P 610,647 +4,985
JUN20 2Y-MIDC 97.37 C 141,194 -5,025 96.75 P 222,565 +6,972
JUN21 3Y-MIDC 97.25 C 193,714 +125 96.62 P 149,042 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUN18 10Y NOTE 119.00 C 16,339 +11,420 119.00 P 142,128 -10,050
JUN18 10Y NOTE 119.50 C 29,067 +4,504 119.50 P 92,363 -2,549
JUL18 10Y NOTE 119.00 C 3,571 +1,434 119.00 P 9,098 -3,562
JUL18 10Y NOTE 119.50 C 6,080 +2,265 119.50 P 3,001 -4
JUN18 5Y NOTE 113.00 C 208 +55 113.00 P 39,775 -1,370
JUN18 5Y NOTE 113.50 C 24,237 +5,820 113.50 P 48,172 +114
JUL18 5Y NOTE 113.00 C 6,865 +1,900 113.00 P 7,327 +3,935
JUL18 5Y NOTE 113.50 C 6,807 -331 113.50 P 4,922 -65
JUN18 2Y NOTE 106.00 C 915 +6 106.00 P 6,353 +250
JUN18 2Y NOTE 106.12 C 7,381 +222 106.12 P 30,237 UNCH
JUL18 2Y NOTE 106.00 C 253 +200 106.00 P 60 UNCH
JUL18 2Y NOTE 106.12 C 0 UNCH 106.12 P 1 UNCH
MAY18 EURODLR 97.75 C 61,485 UNCH 97.75 P 82,561 -2,000
MAY18 EURODLR 97.87 C 140,464 UNCH 97.87 P 13,107 UNCH
JUN18 EURODLR 97.75 C 315,880 -1,025 97.75 P 405,729 -1,725
JUN18 EURODLR 97.87 C 390,616 -33 97.87 P 371,907 -379
JUN19 1Y-MIDC 97.37 C 136,457 +11,058 97.37 P 339,594 -500
JUN19 1Y-MIDC 97.50 C 215,933 -6,600 97.50 P 122,585 UNCH
JUN20 2Y-MIDC 97.00 C 24,873 +10 97.00 P 106,134 -15
JUN20 2Y-MIDC 97.12 C 56,193 +22 97.12 P 106,798 UNCH
JUN21 3Y-MIDC 96.87 C 9,672 +1,606 96.87 P 49,348 +3,567
JUN21 3Y-MIDC 97.00 C 108,746 UNCH 97.00 P 75,599 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
JUN18 10Y NOTE PUT/CALL RATIO -- 1.60 (363,598 PUTS VS. 227,612 CALLS)
JUL18 10Y NOTE PUT/CALL RATIO -- 1.13 (45,210 PUTS VS. 40,103 CALLS)
JUN18 5Y NOTE PUT/CALL RATIO -- 1.99 (89,444 PUTS VS. 44,738 CALLS)
JUL18 5Y NOTE PUT/CALL RATIO -- 1.70 (9,773 PUTS VS. 5,756 CALLS)
JUN18 2Y NOTE PUT/CALL RATIO -- 1.01 (1,424 PUTS VS. 1,413 CALLS)
JUL18 2Y NOTE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 220 CALLS)
MAY18 EURODLRS PUT/CALL RATIO -- 4.28 (24,800 PUTS VS. 5,800 CALLS)
JUN18 EURODLRS PUT/CALL RATIO -- 15.1 (131,290 PUTS VS. 8,698 CALLS)
JUN19 1Y-MIDCRVE PUT/CALL RATIO -- 1.61 (140,250 PUTS VS. 87,000 CALLS)
JUN20 2Y-MIDCRVE PUT/CALL RATIO -- 3.46 (10,550 PUTS VS. 3,050 CALLS)
JUN21 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 0 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
THU OPEN 46.70 62.42 59.48 63.38 70.34 74.22
WED 3:00 46.99 63.54 59.36 63.00 70.27 74.23
WED OPEN 46.50 61.60 58.58 62.02 69.86 73.93
TUE 3:00 46.57 60.42 58.26 60.90 69.82 73.73
TUE OPEN 47.17 59.60 58.39 60.62 69.52 73.16
MON 3:00 47.74 59.37 58.24 60.17 69.39 73:16
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
--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]
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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.