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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 1
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USU USV TYU TYV FVU FVV EDQ EDU
10:45 7.96% 7.89% 3.79% 3.87% 2.17% 2.40% 16.13% 15.25%
9:15 7.94% 8.31% 3.69% 3.92% 2.18% 2.04% 16.07% 15.80%
TUE OPEN 7.94% 7.76% 3.75% 3.92% 2.14% 2.11% 16.05% 15.82%
MON 3:00 7.83% 7.78% 3.73% 3.81% 2.02% 2.34% 18.50% 15.35%
MON OPEN 7.89% 7.50% 3.79% 3.80% 2.07% 2.32% 15.32% 15.66%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
SEP17 10Y NOTE 127.00 C 170,611 +1,491 111.00 P 165,472 UNCH
OCT17 10Y NOTE 127.50 C 26,795 +3,533 123.50 P 22,100 +2,615
SEP17 5Y NOTE 118.50 C 38,724 +3,535 109.25 P 252,442 UNCH
OCT17 5Y NOTE 118.50 C 10,127 +53 117.00 P 18,449 -10
AUG17 EURODLR 98.62 C 99,858 UNCH 98.50 P 144,360 UNCH
SEP17 EURODLR 98.75 C 318,224 +500 98.37 P 750,865 UNCH
SEP18 1Y-MIDC 98.50 C 138,602 +360 98.12 P 283,638 -34,700
SEP19 2Y-MIDC 98.75 C 133,187 UNCH 97.12 P 192,279 UNCH
SEP20 3Y-MIDC 97.62 C 35,946 UNCH 97.50 P 48,787 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
SEP17 10Y NOTE 125.50 C 58,332 +763 125.50 P 56,397 +2,188
SEP17 10Y NOTE 126.00 C 65,581 +581 126.00 P 49,822 -612
OCT17 10Y NOTE 125.50 C 13,148 +6 125.50 P 10,269 +402
OCT17 10Y NOTE 126.00 C 8,365 -6 126.00 P 4,864 -79
SEP17 5Y NOTE 117.75 C 5,820 -58 117.75 P 12,913 -144
SEP17 5Y NOTE 118.00 C 20,690 +367 118.00 P 16,618 +564
OCT17 5Y NOTE 117.75 C 2,889 +453 117.75 P 6,446 +656
OCT17 5Y NOTE 118.00 C 1,265 +213 118.00 P 572 +24
AUG17 EURODLR 98.62 C 99,858 UNCH 98.62 P 95,865 -485
AUG17 EURODLR 98.75 C 69,656 UNCH 98.75 P 3,484 UNCH
SEP17 EURODLR 98.62 C 242,993 -3,000 98.62 P 240,874 +1,950
SEP17 EURODLR 98.75 C 318,224 +500 98.75 P 109,454 UNCH
SEP18 1Y-MIDC 98.37 C 116,334 +1,500 98.37 P 67,037 +613
SEP18 1Y-MIDC 98.50 C 138,602 +360 98.50 P 14,612 UNCH
SEP19 2Y-MIDC 98.00 C 63,921 UNCH 98.00 P 96,953 -350
SEP19 2Y-MIDC 98.12 C 109,290 +3,550 98.12 P 62,255 -3,550
SEP20 3Y-MIDC 97.75 C 26,615 UNCH 97.75 P 27,148 UNCH
SEP20 3Y-MIDC 97.87 C 27,744 -2,034 97.87 P 24,443 -478
PUT/CALL RATIO FOR VOLUME CLEARED:
SEP17 10Y NOTE PUT/CALL RATIO -- 0.30 (36,186 PUTS VS. 120,121 CALLS)
OCT17 10Y NOTE PUT/CALL RATIO -- 0.63 (13,893 PUTS VS. 21,921 CALLS)
SEP17 5Y NOTE PUT/CALL RATIO -- 0.53 (9,118 PUTS VS. 16,925 CALLS)
OCT17 5Y NOTE PUT/CALL RATIO -- 0.81 (1,719 PUTS VS. 2,160 CALLS)
AUG17 EURODLRS PUT/CALL RATIO -- 0.00 (1,010 PUTS VS. 0 CALLS)
SEP17 EURODLRS PUT/CALL RATIO -- 3.17 (14,875 PUTS VS. 4,750 CALLS)
SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 20.5 (53,400 PUTS VS. 2,676 CALLS)
SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 2.62 (10,500 PUTS VS. 4,050 CALLS)
SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 1.00 (1,450 PUTS VS. 1,450 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
10:45 38.88 59.35 55.54 60.86 74.16 79.41
9:15 38.93 58.99 55.59 60.67 74.17 79.42
Tue Open 38.93 58.99 55.59 60.67 74.17 79.42
Mon 3:00 39.01 57.93 55.56 60.60 73.93 78.94
Mon Open 39.01 57.85 55.63 60.67 74.30 79.56
--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.