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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 3
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USU USV TYU TYV FVU FVV EDQ EDU
9:00 7.52% 7.62% 3.64% 3.81% 2.08% 2.29% 13.85% 16.20%
THU OPEN 7.56% 7.53% 3.58% 3.77% 2.08% 2.10% 14.71% 15.59%
WED 3:00 7.56% 8.04% 3.64% 3.84% 1.99% 2.25% 16.81% 14.20%
WED OPEN 8.20% 7.92% 3.81% 3.74% 2.20% 2.08% 16.89% 15.99%
TUE 3:00 8.16% 7.96% 3.81% 3.91% 2.19% 2.29% 15.97% 15.70%
TUE OPEN 7.94% 7.76% 3.75% 3.92% 2.14% 2.11% 16.05% 15.82%
MON 3:00 7.83% 7.78% 3.73% 3.81% 2.02% 2.34% 18.50% 15.35%
MON OPEN 7.89% 7.50% 3.79% 3.80% 2.07% 2.32% 15.32% 15.66%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
SEP17 10Y NOTE 127.00 C 175,258 +181 111.00 P 165,472 UNCH
OCT17 10Y NOTE 127.50 C 32,502 -525 123.50 P 24,695 -31
SEP17 5Y NOTE 118.50 C 37,289 +1,747 109.25 P 252,442 UNCH
OCT17 5Y NOTE 118.50 C 10,311 -85 117.00 P 17,553 -917
AUG17 EURODLR 98.62 C 99,858 UNCH 98.50 P 144,360 UNCH
SEP17 EURODLR 98.75 C 333,063 -1,919 98.37 P 750,865 UNCH
SEP18 1Y-MIDC 98.50 C 138,602 UNCH 98.12 P 273,537 +1,000
SEP19 2Y-MIDC 98.75 C 133,187 UNCH 97.12 P 192,279 UNCH
SEP20 3Y-MIDC 97.62 C 35,946 UNCH 97.50 P 48,787 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
SEP17 10Y NOTE 125.50 C 58,399 -68 125.50 P 61,757 +665
SEP17 10Y NOTE 126.00 C 70,048 +2,675 126.00 P 52,313 +1,791
OCT17 10Y NOTE 125.50 C 13,888 +100 125.50 P 10,639 +229
OCT17 10Y NOTE 126.00 C 10,854 +1,300 126.00 P 7,655 +1,681
SEP17 5Y NOTE 117.75 C 5,970 UNCH 117.75 P 15,837 +1,244
SEP17 5Y NOTE 118.00 C 20,410 +250 118.00 P 18,363 +1,135
OCT17 5Y NOTE 117.75 C 3,170 +288 117.75 P 6,626 +180
OCT17 5Y NOTE 118.00 C 1,782 +504 118.00 P 1,192 +620
AUG17 EURODLR 98.62 C 99,858 UNCH 98.62 P 95,865 UNCH
AUG17 EURODLR 98.75 C 69,656 UNCH 98.75 P 3,484 UNCH
SEP17 EURODLR 98.62 C 252,300 +150 98.62 P 244,869 +1,073
SEP17 EURODLR 98.75 C 333,063 -1,919 98.75 P 109,305 -100
SEP18 1Y-MIDC 98.37 C 121,184 +850 98.37 P 76,937 +500
SEP18 1Y-MIDC 98.50 C 138,602 UNCH 98.50 P 14,670 UNCH
SEP19 2Y-MIDC 98.00 C 65,921 UNCH 98.00 P 97,602 UNCH
SEP19 2Y-MIDC 98.12 C 113,440 +2,875 98.12 P 62,135 +180
SEP20 3Y-MIDC 97.75 C 26,633 UNCH 97.75 P 29,911 +1,250
SEP20 3Y-MIDC 97.87 C 29,436 +1,942 97.87 P 26,579 +2,586
PUT/CALL RATIO FOR VOLUME CLEARED:
SEP17 10Y NOTE PUT/CALL RATIO -- 0.75 (45,570 PUTS VS. 60,571 CALLS)
OCT17 10Y NOTE PUT/CALL RATIO -- 1.00 (11,695 PUTS VS. 11,663 CALLS)
SEP17 5Y NOTE PUT/CALL RATIO -- 1.24 (20,772 PUTS VS. 16,624 CALLS)
OCT17 5Y NOTE PUT/CALL RATIO -- 1.94 (3,361 PUTS VS. 1,747 CALLS)
AUG17 EURODLRS PUT/CALL RATIO -- 0.00 (0 PUTS VS. 0 CALLS)
SEP17 EURODLRS PUT/CALL RATIO -- 3.57 (7,551 PUTS VS. 2,151 CALLS)
SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 5.76 (7,500 PUTS VS. 1,288 CALLS)
SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 4.65 (19,100 PUTS VS. 4,100 CALLS)
SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 2.88 (7,250 PUTS VS. 2,500 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
9:00 39.04 56.66 55.59 60.67 73.82 79.19
Thu Open 39.00 57.04 55.53 60.65 73.89 79.19
Wed 3:00 39.22 57.08 54.89 60.44 73.95 78.84
Wed Open 39.02 58.06 54.92 60.44 74.02 79.24
Tue 3:00 38.71 59.44 55.61 60.96 73.76 79.30
Tue Open 38.93 58.99 55.59 60.67 74.17 79.42
Mon 3:00 39.01 57.93 55.56 60.60 73.93 78.94
Mon Open 39.01 57.85 55.63 60.67 74.30 79.56
--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.