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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 4
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USU USV TYU TYV FVU FVV EDQ EDU
12:30 7.19% 7.41% 3.39% 3.67% 2.03% 2.30% N/A 15.24%
10:45 7.20% 7.56% 3.42% 3.79% 1.88% 2.27% N/A 15.61%
9:00 7.12% 7.33% 3.41% 3.75% 1.87% 2.23% N/A 16.34%
FRI OPEN 7.18% 7.74% 3.46% 3.69% 2.01% 2.24% N/A 15.72%
THU 3:00 7.47% 7.66% 3.47% 3.75% 2.11% 2.31% N/A 15.60%
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 176,210 +952 111.00 P 165,472 UNCH
OCT17 10Y NOTE 127.50 C 32,159 -343 123.50 P 24,816 +121
SEP17 5Y NOTE 118.50 C 36,888 -256 109.25 P 252,442 UNCH
OCT17 5Y NOTE 118.50 C 10,311 UNCH 117.00 P 17,536 +3
AUG17 EURODLR 98.62 C 99,858 UNCH 98.50 P 144,360 UNCH
SEP17 EURODLR 98.75 C 332,663 -400 98.37 P 750,865 UNCH
SEP18 1Y-MIDC 98.50 C 138,602 UNCH 98.12 P 273,537 UNCH
SEP19 2Y-MIDC 98.75 C 133,187 UNCH 97.12 P 192,279 UNCH
SEP20 3Y-MIDC 97.62 C 43,118 +8,112 97.50 P 48,787 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
SEP17 10Y NOTE 125.50 C 57,373 -1,026 125.50 P 60,758 -999
SEP17 10Y NOTE 126.00 C 68,794 -1,254 126.00 P 51,842 -471
OCT17 10Y NOTE 125.50 C 14,122 +234 125.50 P 10,726 +87
OCT17 10Y NOTE 126.00 C 10,468 -386 126.00 P 7,395 -260
SEP17 5Y NOTE 117.75 C 5,970 UNCH 117.75 P 15,861 +24
SEP17 5Y NOTE 118.00 C 20,385 -25 118.00 P 22,415 +4,052
OCT17 5Y NOTE 117.75 C 3,143 -27 117.75 P 6,626 UNCH
OCT17 5Y NOTE 118.00 C 1,782 UNCH 118.00 P 1,192 UNCH
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 252,350 +50 98.62 P 236,371 -8,489
SEP17 EURODLR 98.75 C 332,663 -400 98.75 P 107,287 -2,018
SEP18 1Y-MIDC 98.37 C 122,798 +1,614 98.37 P 77,237 +300
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 93,301 -4,301
SEP19 2Y-MIDC 98.12 C 119,428 +5,988 98.12 P 61,847 -288
SEP20 3Y-MIDC 97.75 C 27,133 +500 97.75 P 29,911 UNCH
SEP20 3Y-MIDC 97.87 C 25,791 -3,645 97.87 P 27,085 +506
PUT/CALL RATIO FOR VOLUME CLEARED:
SEP17 10Y NOTE PUT/CALL RATIO -- 0.87 (155,887 PUTS VS. 179,042 CALLS)
OCT17 10Y NOTE PUT/CALL RATIO -- 1.34 (13,736 PUTS VS. 10,239 CALLS)
SEP17 5Y NOTE PUT/CALL RATIO -- 1.90 (46,245 PUTS VS. 24,309 CALLS)
OCT17 5Y NOTE PUT/CALL RATIO -- 0.22 (204 PUTS VS. 933 CALLS)
AUG17 EURODLRS PUT/CALL RATIO -- 0.00 (0 PUTS VS. 0 CALLS)
SEP17 EURODLRS PUT/CALL RATIO -- 5.39 (39,400 PUTS VS. 7,350 CALLS)
SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 0.86 (13,000 PUTS VS. 15,000 CALLS)
SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 0.54 (13,450 PUTS VS. 24,450 CALLS)
SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 0.66 (11,750 PUTS VS. 17,750 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
12:30 38.75 54.49 54.78 59.98 73.30 78.86
10:45 38.66 54.33 54.69 59.88 73.37 78.91
9:00 38.52 54.51 54.62 59.82 73.40 78.94
Fri Open 38.52 54.41 54.53 59.72 73.41 78.90
Thu 3:00 38.67 54.77 54.75 59.98 73.48 79.08
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.