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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 10
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USU USV TYU TYV FVU FVV EDQ EDU
THU 3:00 7.79% 7.85% 3.97% 4.24% 2.22% 2.51% N/A 13.80%
1:30 7.91% 8.01% 4.04% 4.20% 2.33% 2.36% N/A 13.65%
12:45 7.96% 8.04% 3.96% 4.15% 2.31% 2.46% N/A 14.38%
11:30 7.87% 7.90% 4.03% 4.08% 2.30% 2.42% N/A 13.64%
9:15 7.76% 7.85% 3.95% 4.10% 2.27% 2.41% N/A 14.10%
THU OPEN 7.91% 8.19% 3.91% 4.16% 2.29% 2.49% N/A 14.15%
WED 3:00 7.60% 7.85% 3.80% 4.20% 2.22% 2.37% N/A 13.00%
WED OPEN 7.75% 7.92% 3.89% 4.00% 2.25% 2.79% N/A 13.95%
TUE 3:00 7.41% 7.59% 3.57% 3.83% 1.95% 2.24% N/A 14.02%
TUE OPEN 7.34% 7.46% 3.48% 3.73% 1.97% 2.28% N/A 14.27%
MON 3:00 7.39% 7.44% 3.51% 3.70% 1.89% 2.18% N/A 13.90%
MON OPEN 7.51% 7.41% 3.68% 3.71% 1.99% 2.22% N/A 12.28%
FRI 3:00 7.15% 7.30% 3.32% 3.66% 1.93% 2.08% N/A 14.25%
FRI OPEN 7.18% 7.74% 3.46% 3.69% 2.01% 2.24% N/A 15.72%
THU 3:00 7.47% 7.66% 3.47% 3.75% 2.11% 2.31% N/A 15.60%
THU OPEN 7.56% 7.53% 3.58% 3.77% 2.08% 2.10% 14.71% 15.59%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
SEP17 10Y NOTE 127.00 C 172,070 +1,067 111.00 P 165,472 UNCH
OCT17 10Y NOTE 127.50 C 33,520 +1,759 124.00 P 37,460 +7,048
SEP17 5Y NOTE 118.25 C 37,941 +82 109.25 P 252,442 UNCH
OCT17 5Y NOTE 118.75 C 10,930 +4,160 117.00 P 16,660 UNCH
AUG17 EURODLR 98.62 C 99,858 UNCH 98.50 P 144,360 UNCH
SEP17 EURODLR 98.75 C 338,119 -8,125 98.37 P 750,745 UNCH
SEP18 1Y-MIDC 98.37 C 138,016 -4,675 98.12 P 274,831 +902
SEP19 2Y-MIDC 98.75 C 133,187 UNCH 97.12 P 192,279 UNCH
SEP20 3Y-MIDC 97.62 C 43,731 UNCH 97.50 P 48,307 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
SEP17 10Y NOTE 125.50 C 53,727 -36 125.50 P 71,097 -2,483
SEP17 10Y NOTE 126.00 C 68,180 -2,386 126.00 P 49,890 -517
OCT17 10Y NOTE 125.50 C 14,796 -114 125.50 P 24,543 +9,549
OCT17 10Y NOTE 126.00 C 14,345 -627 126.00 P 9,187 +93
SEP17 5Y NOTE 117.75 C 5,970 UNCH 117.75 P 18,994 -20
SEP17 5Y NOTE 118.00 C 20,466 UNCH 118.00 P 28,248 +1,250
OCT17 5Y NOTE 117.75 C 3,813 UNCH 117.75 P 7,373 +301
OCT17 5Y NOTE 118.00 C 2,902 +735 118.00 P 1,511 -55
AUG17 EURODLR 98.62 C 99,858 UNCH 98.62 P 95,865 UNCH
AUG17 EURODLR 98.75 C 58,105 UNCH 98.75 P 3,484 UNCH
SEP17 EURODLR 98.62 C 258,300 UNCH 98.62 P 235,442 -1,495
SEP17 EURODLR 98.75 C 338,119 -8,125 98.75 P 107,287 UNCH
SEP18 1Y-MIDC 98.37 C 138,016 -4,675 98.37 P 74,363 -3,252
SEP18 1Y-MIDC 98.50 C 123,529 -7,356 98.50 P 15,350 UNCH
SEP19 2Y-MIDC 98.00 C 65,921 UNCH 98.00 P 118,527 -74
SEP19 2Y-MIDC 98.12 C 127,394 +1,824 98.12 P 72,989 +3,749
SEP20 3Y-MIDC 97.75 C 27,133 UNCH 97.75 P 33,635 UNCH
SEP20 3Y-MIDC 97.87 C 25,669 UNCH 97.87 P 33,703 +7,098
PUT/CALL RATIO FOR VOLUME CLEARED:
SEP17 10Y NOTE PUT/CALL RATIO -- 0.59 (158,568 PUTS VS. 265,300 CALLS)
OCT17 10Y NOTE PUT/CALL RATIO -- 0.96 (57,647 PUTS VS. 59,539 CALLS)
SEP17 5Y NOTE PUT/CALL RATIO -- 0.82 (21,241 PUTS VS. 25,636 CALLS)
OCT17 5Y NOTE PUT/CALL RATIO -- 1.16 (10,150 PUTS VS. 8,747 CALLS)
AUG17 EURODLRS PUT/CALL RATIO -- 0.00 (0 PUTS VS. 0 CALLS)
SEP17 EURODLRS PUT/CALL RATIO -- 0.69 (9,450 PUTS VS. 13,555 CALLS)
SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 1.54 (28,550 PUTS VS. 18,400 CALLS)
SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 0.38 (10,600 PUTS VS. 27,525 CALLS)
SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 0.31 (6,000 PUTS VS. 19,000 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 3:00 40.88 58.92 58.05 63.53 74.64 79.21
1:30 40.88 58.86 58.13 63.49 74.62 79.19
12:45 40.85 58.58 57.98 63.30 74.31 79.19
11:30 40.15 58.21 57.71 62.81 74.18 79.34
9:15 40.01 58.03 57.51 62.59 74.16 79.34
Thu Open 40.01 58.03 57.51 62.59 74.16 79.34
Wed 3:00 39.89 58.07 57.57 62.61 74.14 79.21
Wed Open 39.46 56.67 56.22 60.29 73.59 78.99
Tue 3:00 39.22 55.91 55.45 60.51 73.54 78.67
Tue Open 39.12 55.79 55.18 60.12 73.38 78.95
Mon 3:00 39.00 54.85 54.87 59.96 73.38 78.91
Mon Open 39.00 54.24 54.85 59.91 73.41 78.92
Fri 3:00 38.90 54.13 54.76 59.94 73.36 78.86
Fri Open 38.52 54.41 54.53 59.72 73.41 78.90
Thu 3:00 38.67 54.77 54.75 59.98 73.48 79.08
Thu Open 39.00 57.04 55.53 60.65 73.89 79.19
--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.