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US Treasury Auction Calendar
US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR APR 27
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USM USN TYM TYN FVM FVN EDK EDM
FRI OPEN 7.19% 7.37% 3.66% 3.74% 2.26% 2.52% 10.93% 12.58%
THU 3:00 10.80% 8.44% 4.03% 3.93% 2.38% 2.22% 10.24% 11.12%
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%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUN18 10Y NOTE 121.50 C 119,631 +3,787 119.00 P 142,195 +67
JUL18 10Y NOTE 126.50 C 22,710 +3,449 118.00 P 32,356 +4,479
JUN18 5Y NOTE 114.00 C 37,396 +135 105.50 P 156,003 UNCH
JUL18 5Y NOTE 113.00 C 6,965 +100 113.00 P 10,129 +461
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 6,012 +6
MAY18 EURODLR 97.87 C 140,464 UNCH 97.62 P 171,217 +4,550
JUN18 EURODLR 98.00 C 392,822 -974 97.50 P 551,516 -300
JUN19 1Y-MIDC 98.12 C 219,693 UNCH 97.12 P 613,172 +2,525
JUN20 2Y-MIDC 97.37 C 141,194 UNCH 96.75 P 222,565 UNCH
JUN21 3Y-MIDC 97.25 C 195,788 +2,074 96.62 P 149,551 +509
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUN18 10Y NOTE 119.00 C 18,147 +1,808 119.00 P 142,195 +67
JUN18 10Y NOTE 119.50 C 33,349 +4,282 119.50 P 92,479 +116
JUL18 10Y NOTE 119.00 C 7,889 +4,318 119.00 P 12,012 +2,914
JUL18 10Y NOTE 119.50 C 5,987 -93 119.50 P 3,346 +345
JUN18 5Y NOTE 113.00 C 215 +7 113.00 P 41,007 +1,232
JUN18 5Y NOTE 113.50 C 28,752 +4,515 113.50 P 48,212 +40
JUL18 5Y NOTE 113.00 C 6,965 +100 113.00 P 10,129 +461
JUL18 5Y NOTE 113.50 C 6,757 -50 113.50 P 4,922 UNCH
JUN18 2Y NOTE 106.00 C 923 +8 106.00 P 7,353 +1,000
JUN18 2Y NOTE 106.12 C 8,288 +907 106.12 P 30,237 UNCH
JUL18 2Y NOTE 106.00 C 253 UNCH 106.00 P 60 UNCH
JUL18 2Y NOTE 106.12 C 0 UNCH 106.12 P 1 UNCH
MAY18 EURODLR 97.75 C 63,485 +2,000 97.75 P 82,561 UNCH
MAY18 EURODLR 97.87 C 140,464 UNCH 97.87 P 13,107 UNCH
JUN18 EURODLR 97.75 C 331,124 +15,244 97.75 P 404,129 -1,600
JUN18 EURODLR 97.87 C 391,630 +1,014 97.87 P 371,887 -20
JUN19 1Y-MIDC 97.37 C 141,086 +4,629 97.37 P 335,469 -4,125
JUN19 1Y-MIDC 97.50 C 187,945 -27,988 97.50 P 123,935 +1,350
JUN20 2Y-MIDC 97.00 C 24,820 -53 97.00 P 106,134 UNCH
JUN20 2Y-MIDC 97.12 C 56,193 UNCH 97.12 P 106,798 UNCH
JUN21 3Y-MIDC 96.87 C 13,284 +3,612 96.87 P 48,170 -1,178
JUN21 3Y-MIDC 97.00 C 109,696 +950 97.00 P 75,439 -160
PUT/CALL RATIO FOR VOLUME CLEARED:
JUN18 10Y NOTE PUT/CALL RATIO -- 1.02 (149,997 PUTS VS. 147,430 CALLS)
JUL18 10Y NOTE PUT/CALL RATIO -- 1.20 (41,861 PUTS VS. 34,952 CALLS)
JUN18 5Y NOTE PUT/CALL RATIO -- 1.11 (59,150 PUTS VS. 53,080 CALLS)
JUL18 5Y NOTE PUT/CALL RATIO -- 0.29 (1,816 PUTS VS. 6,333 CALLS)
JUN18 2Y NOTE PUT/CALL RATIO -- 1.26 (5,929 PUTS VS. 4,710 CALLS)
JUL18 2Y NOTE PUT/CALL RATIO -- 0.00 (1,113 PUTS VS. 0 CALLS)
MAY18 EURODLRS PUT/CALL RATIO -- 2.15 (6,450 PUTS VS. 3,000 CALLS)
JUN18 EURODLRS PUT/CALL RATIO -- 0.78 (67,870 PUTS VS. 87,147 CALLS)
JUN19 1Y-MIDCRVE PUT/CALL RATIO -- 1.03 (41,650 PUTS VS. 40,450 CALLS)
JUN20 2Y-MIDCRVE PUT/CALL RATIO -- 0.29 (1,000 PUTS VS. 3,500 CALLS)
JUN21 3Y-MIDCRVE PUT/CALL RATIO -- 2.44 (22,350 PUTS VS. 9,150 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
FRI OPEN 44.55 60.43 57.60 61.84 69.74 73.89
THU 3:00 45.08% 60.36 58.20 62.10 69.88 73.87
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
--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.