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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 23
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USU USV TYU TYV FVU FVV EDU EDV
1045 N/A 10.12% N/A 5.08% N/A 3.25% 19.10% 42.20%
FRI OPEN N/A 10.39% N/A 5.24% N/A 3.40% 18.65% 43.01%
THU 1500 N/A 10.21% N/A 5.10% N/A 3.21% 23.65% 42.69%
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
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
SEP19 10Y NOTE 129.00 C 114,066 +1 126.50 P 173,383 -218
OCT19 10Y NOTE 131.50 C 100,046 +54,319 129.00 P 138,701 +3,138
SEP19 5Y NOTE 118.00 C 43,246 +10 114.75 P 125,029 UNCH
OCT19 5Y NOTE 121.00 C 25,318 +645 116.25 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 2,618 +1 107.50 P 31,671 +1,205
SEP19 EURODLR 97.87 C 480,850 -700 97.50 P 550,008 UNCH
OCT19 EURODLR 98.50 C 581,257 +3 97.87 P 158,120 +879
SEP20 1Y-MIDC 98.12 C 139,910 UNCH 98.25 P 232,506 +1,000
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 83,300 -501 130.00 P 55,538 +2,130
SEP19 10Y NOTE 130.50 C 26,024 -3,848 130.50 P 17,545 -1,991
OCT19 10Y NOTE 131.00 C 48,663 -143 131.00 P 24,450 +996
OCT19 10Y NOTE 131.50 C 100,046 +54,319 131.50 P 13,520 -150
SEP19 5Y NOTE 119.00 C 30,757 -1,115 119.00 P 43,188 -2,977
SEP19 5Y NOTE 119.25 C 21,875 -6,199 119.25 P 12,844 -4,672
OCT19 5Y NOTE 119.50 C 3,968 +74 119.50 P 12,360 +753
OCT19 5Y NOTE 119.75 C 15,449 +3,149 119.75 P 10,144 -326
SEP19 2Y NOTE 107.62 C 4,563 -563 107.62 P 2,871 -17
SEP19 2Y NOTE 107.75 C 2,142 -1,399 107.75 P 1,982 -352
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 1,980 +150
SEP19 EURODLR 98.00 C 392,438 -3,887 98.00 P 213,033 -4,614
SEP19 EURODLR 98.12 C 327,006 +1,350 98.12 P 16,020 +500
OCT19 EURODLR 98.00 C 109,842 UNCH 98.00 P 119,187 +2,312
OCT19 EURODLR 98.12 C 50,458 +1 98.12 P 54,625 +3,622
SEP20 1Y-MIDC 98.50 C 85,984 -1,125 98.50 P 145,967 +7,702
SEP20 1Y-MIDC 98.62 C 91,760 +850 98.62 P 41,991 +3,193
SEP21 2Y-MIDC 98.62 C 23,619 UNCH 98.62 P 26,960 +4,300
SEP21 2Y-MIDC 98.75 C 37,104 +6,941 98.75 P 16,925 +6,600
SEP22 3Y-MIDC 98.50 C 47,927 UNCH 98.50 P 20,186 -100
SEP22 3Y-MIDC 98.62 C 11,382 UNCH 98.62 P 17,686 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
SEP19 10Y NOTE PUT/CALL RATIO -- 0.82 (154,521 PUTS VS. 187,344 CALLS)
OCT19 10Y NOTE PUT/CALL RATIO -- 0.36 (77,932 PUTS VS. 213,441 CALLS)
SEP19 5Y NOTE PUT/CALL RATIO -- 1.35 (76,446 PUTS VS. 56,230 CALLS)
OCT19 5Y NOTE PUT/CALL RATIO -- 27.7 (45,159 PUTS VS. 10,980 CALLS)
SEP19 2Y NOTE PUT/CALL RATIO -- 1.10 (4,540 PUTS VS. 4,110 CALLS)
OCT19 2Y NOTE PUT/CALL RATIO -- 55.0 (12,888 PUTS VS. 234 CALLS)
AUG19 EURODLRS PUT/CALL RATIO -- 1.46 (97,734 PUTS VS. 66,042 CALLS)
SEP19 EURODLRS PUT/CALL RATIO -- 0.05 (11,590 PUTS VS. 212,120 CALLS)
JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.87 (60,156 PUTS VS. 32,839 CALLS)
JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.85 (12,100 PUTS VS. 14,700 CALLS)
JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 31.0 (100 PUTS VS. 3,100 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
1045 76.87 83.40 77.07 74.37 66.52 65.31
Fri Open 76.57 81.18 75.21 73.35 65.95 65.32
Fri Open 77.46 83.10 76.90 74.38 65.78 65.70
Thu 1500 77.46 83.10 76.90 74.38 65.78 65.70
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
--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.