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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 26
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USV USZ TYV TYZ FVV FVZ EDU EDV
1200 10.96% 9.79% 5.47% 5.00% 3.74% 3.31% 26.20% 50.40%
1030 11.11% 9.82% 5.53% 5.01% 3.80% 3.34% 25.90% 51.52%
MON OPEN 9.88% 9.77% 5.49% 5.00% 3.65% 3.27% 24.77% 50.45%
FRI 1500 9.88% N/A 4.91% N/A 3.20% N/A 22.42% 48.33%
FRI OPEN 10.39% N/A 5.24% N/A 3.40% N/A 18.65% 43.01%
THU 1500 10.21% N/A 5.10% N/A 3.21% N/A 23.65% 42.69%
THU OPEN 10.47% N/A 5.12% N/A 3.44% N/A 25.05% 44.01%
WED 1500 10.40% N/A 5.10% N/A 3.43% N/A 25.70% 46.45%
WED OPEN 10.84% N/A 5.20% N/A 3.49% N/A 27.30% 44.90%
TUE 1500 10.75% N/A 5.34% N/A 3.49% N/A 27.18% 43.75%
TUE OPEN 10.63% N/A 5.47% N/A 3.55% N/A 27.60% 45.65%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
OCT19 10Y NOTE 132.00 C 98,777 +3,018 129.00 P 137,164 -1,567
DEC19 10Y NOTE 129.00 C 137,134 +10,560 115.00 P 48,570 UNCH
OCT19 5Y NOTE 121.00 C 28,547 +3,229 116.25 P 58,010 UNCH
DEC19 5Y NOTE 119.75 C 15,199 UNCH 109.00 P 48,252 UNCH
OCT19 2Y NOTE 107.75 C 2,618 UNCH 107.50 P 31,671 UNCH
DEC19 2Y NOTE 111.37 C 5,753 +5,753 104.75 P 4,017 +4,017
SEP19 EURODLR 98.25 C 504,145 +31,397 97.87 P 603,134 +9,681
OCT19 EURODLR 98.50 C 597,520 +16,263 97.87 P 158,609 +489
SEP20 1Y-MIDC 98.12 C 139,910 UNCH 98.25 P 225,256 -7,250
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
OCT19 10Y NOTE 131.50 C 59,142 -40,904 131.50 P 19,482 +5,962
OCT19 10Y NOTE 132.00 C 98,777 +3,018 132.00 P 6,238 +1,516
DEC19 10Y NOTE 131.50 C 18,364 +3,253 131.50 P 9,226 -883
DEC19 10Y NOTE 132.00 C 10,861 -179 132.00 P 1,397 -55
OCT19 5Y NOTE 119.75 C 16,246 +797 119.75 P 12,668 +2,524
OCT19 5Y NOTE 120.00 C 22,555 +51 120.00 P 4,565 +3,105
DEC19 5Y NOTE 119.75 C 15,199 UNCH 119.75 P 15,441 UNCH
DEC19 5Y NOTE 120.00 C 9,596 -5,180 120.00 P 3,443 UNCH
OCT19 2Y NOTE 108.00 C 1,806 +3 108.00 P 2,000 +20
OCT19 2Y NOTE 108.12 C 1,079 +197 108.12 P 634 +190
DEC19 2Y NOTE 108.00 C 1,223 +4 108.00 P 164 +40
DEC19 2Y NOTE 108.12 C 660 +50 108.12 P 577 UNCH
SEP19 EURODLR 98.00 C 383,624 -8,814 98.00 P 213,869 +836
SEP19 EURODLR 98.12 C 336,767 +9,761 98.12 P 17,255 +1,235
OCT19 EURODLR 98.00 C 109,842 UNCH 98.00 P 121,505 +2,318
OCT19 EURODLR 98.12 C 50,363 -95 98.12 P 54,875 +250
SEP20 1Y-MIDC 98.50 C 85,734 -750 98.50 P 146,967 +1,000
SEP20 1Y-MIDC 98.62 C 91,685 -75 98.62 P 41,353 -640
SEP21 2Y-MIDC 98.62 C 23,619 UNCH 98.62 P 27,751 +791
SEP21 2Y-MIDC 98.75 C 37,151 +50 98.75 P 15,550 -1,375
SEP22 3Y-MIDC 98.50 C 47,927 UNCH 98.50 P 18,686 -1,500
SEP22 3Y-MIDC 98.62 C 11,382 UNCH 98.62 P 17,686 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
OCT19 10Y NOTE PUT/CALL RATIO -- 0.32 (158,931 PUTS VS. 483,349 CALLS)
DEC19 10Y NOTE PUT/CALL RATIO -- 1.25 (80,483 PUTS VS. 64,709 CALLS)
OCT19 5Y NOTE PUT/CALL RATIO -- 2.28 (96,128 PUTS VS. 42,453 CALLS)
DEC19 5Y NOTE PUT/CALL RATIO -- 0.89 (34,652 PUTS VS. 38,248 CALLS)
OCT19 2Y NOTE PUT/CALL RATIO -- 7.26 (13,859 PUTS VS. 1,926 CALLS)
DEC19 2Y NOTE PUT/CALL RATIO -- 0.72 (4,230 PUTS VS. 5,885 CALLS)
AUG19 EURODLRS PUT/CALL RATIO -- 0.26 (74,626 PUTS VS. 281,260 CALLS)
SEP19 EURODLRS PUT/CALL RATIO -- 0.12 (24,644 PUTS VS. 189,277 CALLS)
JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.83 (68,203 PUTS VS. 37,207 CALLS)
JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 1.36 (29,852 PUTS VS. 21,980 CALLS)
JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.55 (8,093 PUTS VS. 14,438 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
1200 83.21 88.35 81.64 79.27 67.84 66.29
1030 83.01 88.58 81.67 79.11 67.79 66.30
Mon Open 82.88 87.27 81.55 78.97 67.77 66.28
Fri 1500 82.43 86.79 81.16 78.59 67.76 66.27
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
--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.