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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 22
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USU USV TYU TYV FVU FVV EDU EDV
0915 N/A 10.54% N/A 5.15% N/A 3.45% 24.88% 43.48%
THU OPEN N/A 10.47% N/A 5.12% N/A 3.44% 25.05% 44.01%
WED 1500 12.99% 10.40% 6.67% 5.10% 4.50% 3.43% 25.70% 46.45%
WED OPEN 13.23% 10.84% 6.50% 5.20% 4.38% 3.49% 27.30% 44.90%
TUE 1500 13.22% 10.75% 6.16% 5.34% 3.96% 3.49% 27.18% 43.75%
TUE OPEN 11.95% 10.63% 6.30% 5.47% 4.04% 3.55% 27.60% 45.65%
FRI 1500 11.95% 10.63% 5.75% 5.50% 3.64% 3.44% 30.65% N/A
FRI OPEN 12.15% 10.47% 6.01% 5.54% 4.20% 3.64% 31.95% N/A
THU 1500 12.62% 10.60% 6.16% 5.55% 4.95% 3.65% 32.74% N/A
THU OPEN 13.00% 10.89% 6.26% 5.59% 4.96% 3.65% 33.35% N/A
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
SEP19 10Y NOTE 129.00 C 114,065 -1 126.50 P 173,601 UNCH
OCT19 10Y NOTE 133.00 C 94,019 +3,398 129.00 P 135,563 +24,438
SEP19 5Y NOTE 118.00 C 43,236 +34 114.75 P 125,029 UNCH
OCT19 5Y NOTE 121.00 C 24,673 UNCH 116.25 P 58,010 UNCH
SEP19 2Y NOTE 107.37 C 9,429 UNCH 107.00 P 31,451 UNCH
OCT19 2Y NOTE 107.75 C 2,617 UNCH 107.50 P 30,466 +109
SEP19 EURODLR 97.87 C 481,550 -2 97.50 P 550,008 UNCH
OCT19 EURODLR 98.50 C 581,254 +785 97.87 P 157,241 +577
SEP20 1Y-MIDC 98.12 C 139,910 UNCH 98.25 P 231,506 +3,200
SEP21 2Y-MIDC 98.12 C 96,800 UNCH 97.12 P 74,826 UNCH
SEP22 3Y-MIDC 98.00 C 125,432 UNCH 98.00 P 57,767 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
SEP19 10Y NOTE 130.00 C 83,801 -86 130.00 P 53,413 +9,348
SEP19 10Y NOTE 130.50 C 29,872 -1,324 130.50 P 19,536 +3,131
OCT19 10Y NOTE 131.00 C 48,806 -1,565 131.00 P 23,454 +2,305
OCT19 10Y NOTE 131.50 C 45,727 -191 131.50 P 13,670 +3,318
SEP19 5Y NOTE 119.00 C 31,872 -1,578 119.00 P 46,165 +27,449
SEP19 5Y NOTE 119.25 C 28,074 -381 119.25 P 17,516 +1,920
OCT19 5Y NOTE 119.50 C 3,894 +6 119.50 P 11,607 +1,022
OCT19 5Y NOTE 119.75 C 12,300 +469 119.75 P 10,470 +432
SEP19 2Y NOTE 107.62 C 5,126 UNCH 107.62 P 2,888 -11
SEP19 2Y NOTE 107.75 C 3,541 +168 107.75 P 2,334 +844
OCT19 2Y NOTE 107.88 C 354 UNCH 107.88 P 1,004 UNCH
OCT19 2Y NOTE 108.00 C 1,803 UNCH 108.00 P 1,830 +1,506
SEP19 EURODLR 98.00 C 396,325 -11,136 98.00 P 217,647 -1,936
SEP19 EURODLR 98.12 C 325,656 -4,815 98.12 P 15,520 UNCH
OCT19 EURODLR 98.00 C 109,842 UNCH 98.00 P 116,875 -3,031
OCT19 EURODLR 98.12 C 50,457 -19,638 98.12 P 51,003 +73
SEP20 1Y-MIDC 98.50 C 87,109 -1,815 98.50 P 138,265 +18,865
SEP20 1Y-MIDC 98.62 C 90,910 -849 98.62 P 38,798 +7,089
SEP21 2Y-MIDC 98.62 C 23,619 +289 98.62 P 22,660 UNCH
SEP21 2Y-MIDC 98.75 C 30,160 +545 98.75 P 10,325 +1,028
SEP22 3Y-MIDC 98.50 C 47,927 UNCH 98.50 P 20,286 +1,575
SEP22 3Y-MIDC 98.62 C 11,382 +6,001 98.62 P 17,686 +11,168
PUT/CALL RATIO FOR VOLUME CLEARED:
SEP19 10Y NOTE PUT/CALL RATIO -- 1.86 (127,928 PUTS VS. 68,975 CALLS)
OCT19 10Y NOTE PUT/CALL RATIO -- 1.33 (194,245 PUTS VS. 145,516 CALLS)
SEP19 5Y NOTE PUT/CALL RATIO -- 4.42 (93,989 PUTS VS. 21,083 CALLS)
OCT19 5Y NOTE PUT/CALL RATIO -- 27.7 (111,637 PUTS VS. 4,737 CALLS)
SEP19 2Y NOTE PUT/CALL RATIO -- 2.86 (1,549 PUTS VS. 540 CALLS)
OCT19 2Y NOTE PUT/CALL RATIO -- 14.8 (3,053 PUTS VS. 205 CALLS)
AUG19 EURODLRS PUT/CALL RATIO -- 0.82 (67,269 PUTS VS. 81,652 CALLS)
SEP19 EURODLRS PUT/CALL RATIO -- 0.05 (32,204 PUTS VS. 583,669 CALLS)
JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.04 (44,980 PUTS VS. 42,056 CALLS)
JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.54 (1,850 PUTS VS. 3,350 CALLS)
JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 2.06 (23,136 PUTS VS. 11,290 CALLS)
(VOLUME, OPEN INTEREST, RATIOS 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
0915 78.65 83.87 77.82 75.21 67.10 66.36
Thu Open 78.70 83.98 78.05 75.75 67.19 66.50
Wed 1500 79.58 84.35 78.42 76.34 67.27 66.86
Wed Open 82.73 86.72 80.43 77.43 67.62 67.21
Tue 1500 81.78 87.69 79.85 77.30 67.40 67.28
Tue Open 82.15 87.65 78.22 76.45 66.99 67.15
Fri 1500 87.87 88.13 83.59 80.74 70.30 69.37
Fri Open 84.50 88.27 84.55 81.25 69.70 68.40
Thu 1500 81.39 86.79 81.57 79.32 68.06 67.96
Thu Open 82.43 88.37 83.75 81.19 68.68 68.21
--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.