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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 29
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USV USZ TYV TYZ FVV TUZ EDU EDV
12:45 7.53% 8.05% 3.58% 4.70% 2.28% 2.43% 13.95% 17.50%
11:30 7.53% 8.07% 3.77% 4.11% 2.27% 2.42% 12.98% 17.30%
10:45 7.49% 8.08% 3.77% 4.11% 2.25% 2.42% 12.97% 16.34%
9:30 7.49% 8.07% 3.82% 4.11% 2.29% 2.43% 12.96% 16.39%
TUE OPEN 7.82% 8.25% 3.94% 4.17% 2.31% 2.47% 12.90% 16.50%
MON 3:00 6.94% 7.92% 3.49% 4.00% 2.07% 2.36% 11.06% 16.89%
MON OPEN 7.21% 7.95% 3.64% 4.04% 2.20% 2.38% 10.07% 15.79%
FRI 3:00 7.22% N/A 3.68% N/A 2.21% N/A 10.15% 16.10%
FRI OPEN 7.54% N/A 3.88% N/A 2.34% N/A 10.91% 16.70%
THU 3:00 7.63% N/A 3.85% N/A 2.38% N/A 11.22% 16.66%
THU OPEN 7.69% N/A 3.99% N/A 2.37% N/A 10.25% 16.64%
WED 3:00 7.63% N/A 3.88% N/A 2.33% N/A 11.79% 16.48%
WED OPEN 7.38% N/A 3.87% N/A 2.30% N/A 11.38% 16.47%
TUE 3:00 7.44% N/A 3.89% N/A 2.26% N/A 11.16% 16.10%
TUE OPEN 7.55% N/A 3.95% N/A 2.32% N/A 12.69% 16.32%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
OCT17 10Y NOTE 127.00 C 97,384 +30,599 125.00 P 68,524 +5,546
DEC17 10Y NOTE 129.00 C 80,154 +7,411 114.00 P 94,184 +400
OCT17 5Y NOTE 119.00 C 27,819 +1,741 115.25 P 26,311 UNCH
DEC17 5Y NOTE 118.25 C 8,705 -581 112.25 P 101,550 UNCH
SEP17 EURODLR 98.75 C 336,786 +770 98.37 P 746,921 UNCH
OCT17 EURODLR 98.62 C 128,650 UNCH 98.50 P 155,652 +515
SEP18 1Y-MIDC 98.37 C 118,558 -150 98.12 P 216,333 UNCH
SEP19 2Y-MIDC 98.75 C 133,187 UNCH 97.12 P 192,279 UNCH
SEP20 3Y-MIDC 98.00 C 44,262 +500 97.62 P 55,197 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
OCT17 10Y NOTE 126.00 C 19,642 +89 126.00 P 43,429 +1,631
OCT17 10Y NOTE 126.50 C 43,163 -1,261 126.50 P 25,997 +31
DEC17 10Y NOTE 126.00 C 15,799 UNCH 126.00 P 35,561 UNCH
DEC17 10Y NOTE 126.50 C 12,046 +620 126.50 P 7,280 -155
OCT17 5Y NOTE 118.25 C 10,464 +743 118.25 P 9,552 +504
OCT17 5Y NOTE 118.50 C 14,569 +357 118.50 P 3,438 UNCH
DEC17 5Y NOTE 118.25 C 8,705 -581 118.25 P 14,099 UNCH
DEC17 5Y NOTE 118.50 C 3,852 +496 118.50 P 275 +224
SEP17 EURODLR 98.62 C 255,245 UNCH 98.62 P 226,865 -1,000
SEP17 EURODLR 98.75 C 336,786 +770 98.75 P 107,287 UNCH
OCT17 EURODLR 98.50 C 36,742 UNCH 98.50 P 155,652 +515
OCT17 EURODLR 98.62 C 128,650 UNCH 98.62 P 30,213 UNCH
SEP18 1Y-MIDC 98.37 C 118,558 -150 98.37 P 63,462 -251
SEP18 1Y-MIDC 98.50 C 110,819 -3,700 98.50 P 11,802 UNCH
SEP19 2Y-MIDC 98.00 C 62,838 UNCH 98.00 P 102,839 UNCH
SEP19 2Y-MIDC 98.12 C 120,509 UNCH 98.12 P 83,811 +2,350
SEP20 3Y-MIDC 97.75 C 27,133 UNCH 97.75 P 42,503 UNCH
SEP20 3Y-MIDC 97.87 C 22,685 UNCH 97.87 P 25,996 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
OCT17 10Y NOTE PUT/CALL RATIO -- 0.51 (73,299 PUTS VS. 142,267 CALLS)
DEC17 10Y NOTE PUT/CALL RATIO -- 0.46 (21,342 PUTS VS. 45,952 CALLS)
OCT17 5Y NOTE PUT/CALL RATIO -- 7.84 (45,533 PUTS VS. 5,856 CALLS)
DEC17 5Y NOTE PUT/CALL RATIO -- 8.06 (33,678 PUTS VS. 4,174 CALLS)
SEP17 EURODLRS PUT/CALL RATIO -- 1.00 (1,000 PUTS VS. 1,000 CALLS)
OCT17 EURODLRS PUT/CALL RATIO -- 3.8 (2,950 PUTS VS. 7,600 CALLS)
SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 0.25 (1,801 PUTS VS. 7,100 CALLS)
SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 1.00 (4,100 PUTS VS. 4,100 CALLS)
SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 1.35 (1,900 PUTS VS. 1,404 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
12:45 39.02 60.80 56.31 63.24 74.40 79.21
11:30 39.02 61.04 56.38 63.34 74.36 79.20
10:45 39.04 61.13 56.61 63.60 74.27 79.18
9:30 39.11 59.90 56.81 63.52 74.22 79.18
Tue Open 38.96 58.74 56.09 62.70 74.25 79.18
Mon 3:00 38.71 56.67 55.38 61.90 74.18 79.20
Mon Open 38.94 56.04 56.05 62.34 74.11 79.21
Fri 3:00 38.99 56.43 56.40 62.62 74.18 79.21
Fri Open 39.88 59.51 57.57 63.97 74.63 79.37
Thu 3:00 39.87 60.08 57.90 64.36 74.63 79.32
Thu Open 39.79 59.46 57.26 63.65 74.44 79.23
Wed 3:00 39.39 58.03 56.01 62.49 74.27 79.22
Wed Open 39.03 57.93 55.76 62.08 73.93 78.77
--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.