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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 14
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USU USV TYU TYV FVU FVV EDU EDV
MON OPEN 7.62% 7.90% 3.96% 3.94% 2.21% 2.37% 14.70% 17.60%
FRI 3:00 7.73% 8.06% 3.87% 4.11% 2.33% 2.44% 13.30% N/A
FRI OPEN 8.16% 8.08% 4.22% 4.14% 2.37% 2.44% 14.75% N/A
THU 3:00 7.79% 7.85% 3.97% 4.24% 2.22% 2.51% 13.80% N/A
THU OPEN 7.91% 8.19% 3.91% 4.16% 2.29% 2.49% 14.15% N/A
WED 3:00 7.60% 7.85% 3.80% 4.20% 2.22% 2.37% 13.00% N/A
WED OPEN 7.75% 7.92% 3.89% 4.00% 2.25% 2.79% 13.95% N/A
TUE 3:00 7.41% 7.59% 3.57% 3.83% 1.95% 2.24% 14.02% N/A
TUE OPEN 7.34% 7.46% 3.48% 3.73% 1.97% 2.28% 14.27% N/A
MON 3:00 7.39% 7.44% 3.51% 3.70% 1.89% 2.18% 13.90% N/A
MON OPEN 7.51% 7.41% 3.68% 3.71% 1.99% 2.22% 12.28% N/A
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
SEP17 10Y NOTE 127.00 C 160,879 -6,206 111.00 P 165,472 UNCH
OCT17 10Y NOTE 127.00 C 39,065 +1,115 124.00 P 37,996 -72
SEP17 5Y NOTE 118.25 C 38,406 -24 109.25 P 252,442 UNCH
OCT17 5Y NOTE 118.75 C 18,248 +7,370 117.00 P 19,751 +3,073
SEP17 EURODLR 98.75 C 336,544 UNCH 98.37 P 750,745 UNCH
OCT17 EURODLR 98.62 C 121,965 +690 98.50 P 157,709 +3,886
SEP18 1Y-MIDC 98.50 C 123,250 -114 98.12 P 260,183 -26,648
SEP19 2Y-MIDC 98.75 C 133,187 UNCH 97.12 P 192,279 UNCH
SEP20 3Y-MIDC 98.00 C 44,748 -550 97.50 P 48,307 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
SEP17 10Y NOTE 126.00 C 68,040 +76 126.00 P 53,931 +810
SEP17 10Y NOTE 126.50 C 82,962 -603 126.50 P 29,549 +1,070
OCT17 10Y NOTE 126.00 C 15,231 +894 126.00 P 11,137 +948
OCT17 10Y NOTE 126.50 C 28,533 +2,381 126.50 P 10,716 +4,516
SEP17 5Y NOTE 118.25 C 38,406 -24 118.25 P 20,976 -128
SEP17 5Y NOTE 118.50 C 27,618 -2,003 118.50 P 7,684 +567
OCT17 5Y NOTE 118.25 C 2,496 +679 118.25 P 1,176 +976
OCT17 5Y NOTE 118.50 C 11,992 +1,395 118.50 P 2,161 +261
SEP17 EURODLR 98.62 C 257,700 -600 98.62 P 233,844 -1,583
SEP17 EURODLR 98.75 C 336,544 UNCH 98.75 P 107,287 UNCH
OCT17 EURODLR 98.50 C 36,349 UNCH 98.50 P 157,709 +3,886
OCT17 EURODLR 98.62 C 121,965 +690 98.62 P 30,945 UNCH
SEP18 1Y-MIDC 98.37 C 122,359 -17,164 98.37 P 72,459 -4,604
SEP18 1Y-MIDC 98.50 C 123,250 -114 98.50 P 12,632 -2,718
SEP19 2Y-MIDC 98.00 C 64,971 -950 98.00 P 89,876 -29,125
SEP19 2Y-MIDC 98.12 C 123,763 -1,617 98.12 P 72,897 +7
SEP20 3Y-MIDC 97.75 C 27,133 UNCH 97.75 P 40,440 +5,565
SEP20 3Y-MIDC 97.87 C 26,519 +500 97.87 P 32,053 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
SEP17 10Y NOTE PUT/CALL RATIO -- 0.90 (124,756 PUTS VS. 137,457 CALLS)
OCT17 10Y NOTE PUT/CALL RATIO -- 0.96 (42,534 PUTS VS. 44,275 CALLS)
SEP17 5Y NOTE PUT/CALL RATIO -- 1.01 (30,127 PUTS VS. 29,852 CALLS)
OCT17 5Y NOTE PUT/CALL RATIO -- 0.08 (2,216 PUTS VS. 28,529 CALLS)
SEP17 EURODLRS PUT/CALL RATIO -- 8.46 (11,048 PUTS VS. 1,300 CALLS)
OCT17 EURODLRS PUT/CALL RATIO -- 1.30 (6,804 PUTS VS. 5,270 CALLS)
SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 1.53 (87,780 PUTS VS. 57,250 CALLS)
SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 1.11 (60,150 PUTS VS. 53,900 CALLS)
SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 4.63 (10,200 PUTS VS. 2,200 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
Mon Open 41.06 59.35 58.06 63.80 74.26 79.59
Fri 3:00 40.66 59.29 58.06 63.86 74.24 79.55
Fri Open 40.93 59.27 58.15 63.90 74.77 79.24
Thu 3:00 40.88 58.92 58.05 63.53 74.64 79.21
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
--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.