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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 2
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USU USV TYU TYV FVU FVV EDQ EDU
1:45 7.59% 7.74% 3.57% 3.84% 1.99% 2.25% 16.56% 14.10%
12:00 7.72% 7.45% 3.78% 3.83% 2.11% 2.34% 16.87% 14.18%
10:45 7.72% 7.85% 3.71% 3.84% 2.14% 2.36% 16.98% 14.51%
9:15 7.96% 7.59% 3.75% 3.78% 2.13% 2.18% 16.90% 14.56%
WED OPEN 8.20% 7.92% 3.81% 3.74% 2.20% 2.08% 16.89% 15.99%
TUE 3:00 8.16% 7.96% 3.81% 3.91% 2.19% 2.29% 15.97% 15.70%
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 175,077 +4,466 111.00 P 165,472 UNCH
OCT17 10Y NOTE 127.50 C 33,027 +6,242 123.50 P 24,726 +2,626
SEP17 5Y NOTE 118.50 C 37,400 -1,189 109.25 P 252,442 UNCH
OCT17 5Y NOTE 118.50 C 10,396 +269 117.00 P 18,450 +1
AUG17 EURODLR 98.62 C 99,858 UNCH 98.50 P 144,360 UNCH
SEP17 EURODLR 98.75 C 334,982 +16,758 98.37 P 750,865 UNCH
SEP18 1Y-MIDC 98.50 C 138,602 UNCH 98.12 P 272,537 -11,101
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 58,467 +135 125.50 P 61,091 +4,694
SEP17 10Y NOTE 126.00 C 67,373 +1,855 126.00 P 50,522 +700
OCT17 10Y NOTE 125.50 C 13,788 +640 125.50 P 10,410 +141
OCT17 10Y NOTE 126.00 C 9,554 +1,189 126.00 P 5,974 +1,110
SEP17 5Y NOTE 117.75 C 5,970 +150 117.75 P 14,593 +1,680
SEP17 5Y NOTE 118.00 C 20,160 -530 118.00 P 17,228 +610
OCT17 5Y NOTE 117.75 C 2,882 -7 117.75 P 6,446 UNCH
OCT17 5Y NOTE 118.00 C 1,278 +13 118.00 P 572 UNCH
AUG17 EURODLR 98.62 C 99,858 UNCH 98.62 P 95,865 UNCH
AUG17 EURODLR 98.75 C 69,656 UNCH 98.75 P 3,484 UNCH
SEP17 EURODLR 98.62 C 252,150 +9,157 98.62 P 243,796 +2,922
SEP17 EURODLR 98.75 C 334,982 +16,758 98.75 P 109,405 -49
SEP18 1Y-MIDC 98.37 C 120,334 +4,000 98.37 P 76,437 +9,400
SEP18 1Y-MIDC 98.50 C 138,602 UNCH 98.50 P 14,670 +58
SEP19 2Y-MIDC 98.00 C 65,921 +2,000 98.00 P 97,602 +649
SEP19 2Y-MIDC 98.12 C 110,565 +1,275 98.12 P 61,955 -300
SEP20 3Y-MIDC 97.75 C 26,633 +18 97.75 P 28,661 +1,513
SEP20 3Y-MIDC 97.87 C 27,494 -250 97.87 P 23,993 -450
PUT/CALL RATIO FOR VOLUME CLEARED:
SEP17 10Y NOTE PUT/CALL RATIO -- 1.41 (198,749 PUTS VS. 140,616 CALLS)
OCT17 10Y NOTE PUT/CALL RATIO -- 1.80 (47,324 PUTS VS. 26,231 CALLS)
SEP17 5Y NOTE PUT/CALL RATIO -- 0.84 (28,615 PUTS VS. 33,915 CALLS)
OCT17 5Y NOTE PUT/CALL RATIO -- 5.75 (4,655 PUTS VS. 851 CALLS)
AUG17 EURODLRS PUT/CALL RATIO -- 0.00 (0 PUTS VS. 0 CALLS)
SEP17 EURODLRS PUT/CALL RATIO -- 0.36 (19,375 PUTS VS. 52,967 CALLS)
SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 7.52 (37,600 PUTS VS. 5,000 CALLS)
SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 0.03 (650 PUTS VS. 21,650 CALLS)
SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 0.08 (150 PUTS VS. 1,668 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
1:45 39.22 57.51 55.09 60.53 73.94 78.84
12:00 39.27 57.83 55.10 60.56 73.94 78.85
10:45 39.27 57.82 55.10 60.56 73.96 78.86
9:15 39.02 57.88 55.22 60.71 74.00 78.91
Wed Open 39.02 58.06 54.92 60.44 74.02 79.24
Tue 3:00 38.71 59.44 55.61 60.96 73.76 79.30
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.