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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 16
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USU USV TYU TYV FVU FVV EDU EDV
9:00 7.20% 7.30% 3.59% 3.81% 2.06% 2.17% 13.01% 13.19%
WED OPEN 7.35% 7.30% 3.61% 3.82% 2.00% 2.12% 12.97% 14.37%
TUE 3:00 7.51% 7.61% 3.74% 3.80% 2.11% 2.26% 12.80% 14.85%
TUE OPEN 7.55% 7.60% 3.80% 3.75% 2.12% 2.21% 13.26% 16.00%
MON 3:00 7.46% 7.76% 3.84% 3.91% 2.15% 2.42% 13.05% 16.55%
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
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
SEP17 10Y NOTE 127.00 C 152,086 -2,472 111.00 P 165,472 UNCH
OCT17 10Y NOTE 127.00 C 45,972 +7,012 125.00 P 42,151 +4,069
SEP17 5Y NOTE 118.25 C 39,015 +709 109.25 P 252,442 UNCH
OCT17 5Y NOTE 118.75 C 17,900 -348 117.00 P 19,800 +50
SEP17 EURODLR 98.75 C 335,744 -500 98.37 P 750,745 UNCH
OCT17 EURODLR 98.62 C 127,100 +5,635 98.50 P 158,059 UNCH
SEP18 1Y-MIDC 98.37 C 126,859 +2,825 98.12 P 265,427 +5,244
SEP19 2Y-MIDC 98.75 C 133,187 UNCH 97.12 P 192,279 UNCH
SEP20 3Y-MIDC 98.00 C 44,098 -650 97.50 P 48,307 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
SEP17 10Y NOTE 126.00 C 63,370 -3,302 126.00 P 54,004 -1,888
SEP17 10Y NOTE 126.50 C 81,052 +686 126.50 P 32,929 +428
OCT17 10Y NOTE 126.00 C 17,475 +1,832 126.00 P 14,884 +1,109
OCT17 10Y NOTE 126.50 C 29,883 +782 126.50 P 10,864 -5
SEP17 5Y NOTE 118.25 C 39,015 +709 118.25 P 20,125 -2,315
SEP17 5Y NOTE 118.50 C 25,151 -2,436 118.50 P 8,027 -200
OCT17 5Y NOTE 118.25 C 2,166 -198 118.25 P 1,100 +34
OCT17 5Y NOTE 118.50 C 13,352 +155 118.50 P 3,432 UNCH
SEP17 EURODLR 98.62 C 257,695 -5 98.62 P 231,804 -1,766
SEP17 EURODLR 98.75 C 335,744 -500 98.75 P 107,287 UNCH
OCT17 EURODLR 98.50 C 36,376 +27 98.50 P 158,059 UNCH
OCT17 EURODLR 98.62 C 127,100 +5,635 98.62 P 30,774 UNCH
SEP18 1Y-MIDC 98.37 C 126,859 +2,825 98.37 P 76,747 +6,498
SEP18 1Y-MIDC 98.50 C 123,385 -135 98.50 P 12,632 UNCH
SEP19 2Y-MIDC 98.00 C 64,998 UNCH 98.00 P 94,481 UNCH
SEP19 2Y-MIDC 98.12 C 127,673 +2,775 98.12 P 73,433 +947
SEP20 3Y-MIDC 97.75 C 27,133 UNCH 97.75 P 39,389 +1
SEP20 3Y-MIDC 97.87 C 25,385 -434 97.87 P 30,576 -277
PUT/CALL RATIO FOR VOLUME CLEARED:
SEP17 10Y NOTE PUT/CALL RATIO -- 0.89 (107,615 PUTS VS. 120,662 CALLS)
OCT17 10Y NOTE PUT/CALL RATIO -- 0.66 (30,103 PUTS VS. 45,598 CALLS)
SEP17 5Y NOTE PUT/CALL RATIO -- 0.81 (22,755 PUTS VS. 28,116 CALLS)
OCT17 5Y NOTE PUT/CALL RATIO -- 4.01 (12,052 PUTS VS. 3,035 CALLS)
SEP17 EURODLRS PUT/CALL RATIO -- 1.97 (23,143 PUTS VS. 11,700 CALLS)
OCT17 EURODLRS PUT/CALL RATIO -- 0.00 (0 PUTS VS. 19,610 CALLS)
SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 1.17 (10,200 PUTS VS. 8,700 CALLS)
SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 1.95 (13,150 PUTS VS. 6,700 CALLS)
SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 0.95 (1,996 PUTS VS. 20,022 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
9:00 40.07 56.25 55.97 61.73 74.11 79.22
Wed Open 40.07 56.23 55.96 61.73 74.13 79.25
Tue 3:00 40.12 58.67 56.35 62.10 74.53 79.30
Tue Open 40.45 59.22 56.72 62.25 74.78 79.51
Mon 3:00 40.65 59.26 57.08 62.43 74.92 79.33
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
--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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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.