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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR APR 5
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USK USM TYK TYM FVK FVM EDJ EDM
11:30 5.65% 6.01% 3.07% 3.33% 2.08% 2.22% 10.25% 4.65%
9:45 6.04% 6.19% 3.36% 3.47% 2.31% 2.32% 13.03% 8.80%
FRI OPEN 6.05% 6.16% 3.34% 3.45% 2.27% 2.30% 12.98% 8.80%
THU 3:00 6.06% 6.31% 3.42% 3.46% 2.32% 2.38% 15.95% 8.88%
THU OPEN 5.97% 6.31% 3.45% 3.47% 2.35% 2.38% 14.75% 9.03%
WED 3:00 6.04% 6.37% 3.39% 3.52% 2.35% 2.38% 15.77% 8.85%
TUE 3:00 6.34% 6.48% 3.55% 3.61% 2.44% 2.48% 12.65% 9.25%
TUE OPEN 6.24% 6.40% 3.56% 3.65% 2.47% 2.49% 13.85% 9.66%
MON 3:00 6.42% 6.59% 3.71% 3.70% 2.59% 2.57% 15.30% 9.15%
MON OPEN 6.81% 6.81% 3.97% 3.83% 2.74% 2.66% 13.55% 11.01%
FRI 3:00 6.84% 6.96% 3.91% 3.91% 2.83% 2.71% 12.85% 11.47%
FRI OPEN 7.01% 7.02% 4.03% 3.92% 2.86% 2.75% 14.22% 11.19%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
MAY19 10Y NOTE 124.50 C 111,315 +9,035 123.00 P 102,942 +2,468
JUN19 10Y NOTE 125.50 C 66,733 -291 122.50 P 113,175 +1,023
MAY19 5Y NOTE 116.25 C 54,341 +7,713 112.25 P 97,659 UNCH
JUN19 5Y NOTE 116.50 C 55,799 -2,000 108.25 P 151,559 UNCH
MAY19 2Y NOTE 106.75 C 8,392 -1 106.25 P 18,709 +15
JUN19 2Y NOTE 106.75 C 17,056 -1 106.25 P 58,860 -867
APR19 EURODLR 97.37 C 161,638 +718 97.37 P 80,133 +20
JUN19 EURODLR 97.37 C 541,248 -1,300 96.75 P 728,209 UNCH
JUN19 1Y-MIDC 98.00 C 183,426 +6,100 97.00 P 141,023 UNCH
JUN20 2Y-MIDC 97.75 C 85,721 UNCH 97.50 P 108,469 -1,000
JUN21 3Y-MIDC 97.75 C 101,645 UNCH 97.62 P 82,917 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
MAY19 10Y NOTE 123.50 C 62,638 +1,033 123.50 P 62,984 +878
MAY19 10Y NOTE 124.00 C 88,799 +2,452 124.00 P 38,260 -514
JUN19 10Y NOTE 123.50 C 36,277 +2,176 123.50 P 72,681 +1,757
JUN19 10Y NOTE 124.00 C 42,634 -1,862 124.00 P 23,357 +785
MAY19 5Y NOTE 115.50 C 52,564 -1,553 115.50 P 31,507 +2,000
MAY19 5Y NOTE 115.75 C 23,199 +3,903 115.75 P 35,452 UNCH
JUN19 5Y NOTE 115.50 C 13,425 +1,106 115.50 P 27,757 +1,900
JUN19 5Y NOTE 115.75 C 14,558 +398 115.75 P 19,244 -1,270
MAY19 2Y NOTE 106.50 C 7,553 +710 106.50 P 4,063 -211
MAY19 2Y NOTE 106.62 C 6,896 UNCH 106.62 P 7,515 UNCH
JUN19 2Y NOTE 106.50 C 15,292 -1 106.50 P 15,597 +327
JUN19 2Y NOTE 106.62 C 8,133 UNCH 106.62 P 3,242 UNCH
APR19 EURODLR 97.25 C 93,688 UNCH 97.25 P 68,836 UNCH
APR19 EURODLR 97.37 C 161,638 +718 97.37 P 80,133 +20
JUN19 EURODLR 97.25 C 308,291 +1,000 97.25 P 297,444 UNCH
JUN19 EURODLR 97.37 C 541,248 -1,300 97.37 P 239,029 +500
JUN20 1Y-MIDC 97.50 C 74,425 UNCH 97.50 P 135,300 -1,750
JUN20 1Y-MIDC 97.62 C 54,693 UNCH 97.62 P 131,573 -2,000
JUN21 2Y-MIDC 97.62 C 26,842 UNCH 97.62 P 28,474 UNCH
JUN21 2Y-MIDC 97.75 C 85,721 UNCH 97.75 P 41,343 -250
JUN22 3Y-MIDC 97.62 C 14,149 UNCH 97.62 P 82,917 UNCH
JUN22 3Y-MIDC 97.75 C 101,645 UNCH 97.75 P 55,255 +250
PUT/CALL RATIO FOR VOLUME CLEARED:
MAY19 10Y NOTE PUT/CALL RATIO -- 0.33 (41,703 PUTS VS. 124,275 CALLS)
JUN19 10Y NOTE PUT/CALL RATIO -- 1.04 (48,869 PUTS VS. 46,868 CALLS)
MAY19 5Y NOTE PUT/CALL RATIO -- 0.50 (23,071 PUTS VS. 45,879 CALLS)
JUN19 5Y NOTE PUT/CALL RATIO -- 0.72 (16,363 PUTS VS. 22,648 CALLS)
MAY19 2Y NOTE PUT/CALL RATIO -- 3.02 (2,453 PUTS VS. 810 CALLS)
JUN19 2Y NOTE PUT/CALL RATIO -- 1.66 (11,314 PUTS VS. 6,850 CALLS)
APR19 EURODLRS PUT/CALL RATIO -- 1.00 (738 PUTS VS. 738 CALLS)
JUN19 EURODLRS PUT/CALL RATIO -- 0.02 (750 PUTS VS. 25,458 CALLS)
JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.44 (24,050 PUTS VS. 53,400 CALLS)
JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.52 (5,250 PUTS VS. 10,000 CALLS)
JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 7.00 (3,500 PUTS VS. 500 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
11:30 53.54 51.92 55.33 53.21 58.17 64.04
9:45 54.67 53.55 56.49 54.31 58.55 64.39
Fri Open 54.52 53.41 56.41 54.24 58.53 64.37
Thu 3:00 54.96 53.84 56.48 54.20 58.54 64.28
Thu Open 55.44 55.37 57.01 54.81 59.21 64.77
Wed 3:00 55.50 56.02 57.13 54.90 59.41 65.08
Wed 3:00 56.20 55.54 57.60 55.00 60.04 66.06
Tue Open 55.42 55.27 56.78 54.22 60.12 66.30
Mon 3:00 55.43 55.65 57.58 54.91 60.51 66.81
Mon Open 59.19 59.23 60.11 57.05 61.19 67.21
Fri 3:00 59.47 59.65 60.46 57.36 61.32 67.50
Fri Open 59.99 60.33 61.41 58.11 61.55 67.93
--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.