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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 27
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USV USZ TYV TYZ FVV FVZ EDU EDV
TUE OPEN 10.63% 9.65% 5.34% 4.93% 3.62% 3.27% 24.50% 43.17%
MON 1500 10.68% 9.63% 5.30% 4.93% 3.65% 3.27% 24.90% 49.65%
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 101,027 +2,250 129.00 P 137,109 -25
DEC19 10Y NOTE 134.00 C 42,503 +4,356 116.00 P 50,915 +3,306
OCT19 5Y NOTE 121.00 C 26,132 -2,415 119.00 P 104,227 +67,936
DEC19 5Y NOTE 120.50 C 16,950 +2,100 109.00 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 UNCH 104.75 P 4,046 +29
SEP19 EURODLR 98.25 C 560,661 +57,701 97.87 P 622,740 +22,106
OCT19 EURODLR 98.50 C 550,520 -47,000 97.87 P 158,609 UNCH
SEP20 1Y-MIDC 98.12 C 139,910 UNCH 98.25 P 225,256 UNCH
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 56,893 -2,249 131.50 P 23,726 +4,244
OCT19 10Y NOTE 132.00 C 101,027 +2,250 132.00 P 7,095 +857
DEC19 10Y NOTE 131.50 C 19,082 +718 131.50 P 9,641 +415
DEC19 10Y NOTE 132.00 C 13,811 +2,950 132.00 P 4,374 +2,977
OCT19 5Y NOTE 119.75 C 16,506 +260 119.75 P 12,516 -152
OCT19 5Y NOTE 120.00 C 23,530 +975 120.00 P 6,113 +1,548
DEC19 5Y NOTE 119.75 C 15,327 +128 119.75 P 15,441 UNCH
DEC19 5Y NOTE 120.00 C 9,817 +221 120.00 P 3,730 +287
OCT19 2Y NOTE 108.00 C 1,806 UNCH 108.00 P 2,245 +245
OCT19 2Y NOTE 108.12 C 1,078 -1 108.12 P 635 +1
DEC19 2Y NOTE 108.00 C 1,218 -5 108.00 P 164 UNCH
DEC19 2Y NOTE 108.12 C 660 UNCH 108.12 P 577 UNCH
SEP19 EURODLR 98.00 C 384,063 +439 98.00 P 218,719 +4,850
SEP19 EURODLR 98.12 C 370,359 +33,592 98.12 P 20,255 +3,000
OCT19 EURODLR 98.00 C 109,842 UNCH 98.00 P 127,016 +5,511
OCT19 EURODLR 98.12 C 49,359 -1,004 98.12 P 56,975 +2,100
SEP20 1Y-MIDC 98.50 C 84,857 -377 98.50 P 146,968 +1
SEP20 1Y-MIDC 98.62 C 91,059 -626 98.62 P 44,924 +3,573
SEP21 2Y-MIDC 98.62 C 23,619 UNCH 98.62 P 27,251 -500
SEP21 2Y-MIDC 98.75 C 38,151 +1,000 98.75 P 16,325 +775
SEP22 3Y-MIDC 98.50 C 47,927 UNCH 98.50 P 21,010 +2,324
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 -- 0.46 (87,958 PUTS VS. 189,052 CALLS)
DEC19 10Y NOTE PUT/CALL RATIO -- 1.25 (36,730 PUTS VS. 34,838 CALLS)
OCT19 5Y NOTE PUT/CALL RATIO -- 2.28 (206,004 PUTS VS. 12,448 CALLS)
DEC19 5Y NOTE PUT/CALL RATIO -- 0.89 (9,168 PUTS VS. 8,255 CALLS)
OCT19 2Y NOTE PUT/CALL RATIO -- 7.26 (2,745 PUTS VS. 406 CALLS)
DEC19 2Y NOTE PUT/CALL RATIO -- 0.72 (667 PUTS VS. 1,107 CALLS)
AUG19 EURODLRS PUT/CALL RATIO -- 0.26 (40,224 PUTS VS. 276,130 CALLS)
SEP19 EURODLRS PUT/CALL RATIO -- 0.12 (37,524 PUTS VS. 108,721 CALLS)
JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.83 (30,142 PUTS VS. 12,863 CALLS)
JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 1.36 (9,800 PUTS VS. 5,925 CALLS)
JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.55 (20,537 PUTS VS. 1,602 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
Tue Open 84.04 89.08 81.93 79.62 67.41 65.91
Mon 1500 83.19 89.27 81.89 79.67 67.98 66.45
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
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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.