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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 5
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USU USV TYU TYV FVU FVV EDQ EDU
MON OPEN 9.80% 8.64% 5.39% 5.01% 3.60% 3.42% 27.85% 26.05%
MON OPEN 7.93% 7.78% 4.32% 4.45% 2.95% 3.04% 24.11% 22.40%
FRI 1500 7.93% 7.78% 4.32% 4.45% 2.95% 3.04% 24.11% 22.40%
FRI OPEN 7.79% 8.00% 4.50% 4.35% 3.01% 3.10% 28.00% 21.70%
THU 1500 7.68% 7.75% 4.30% 4.35% 2.91% 3.00% 27.01% 21.05%
THU OPEN 6.68% 6.70% 3.77% 3.91% 2.67% 2.65% 20.10% 19.25%
MON 1500 6.71% 6.71% 3.91% 3.98% 2.77% 2.73% 25.79% 21.58%
MON OPEN 6.58% N/A 3.82% N/A 2.67% N/A 22.06% 21.16%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
SEP19 10Y NOTE 129.00 C 137,379 -3,799 126.50 P 173,707 -364
OCT19 10Y NOTE 128.00 C 24,472 +3 125.00 P 26,112 +1
SEP19 5Y NOTE 118.00 C 49,688 +19 114.75 P 125,039 -105
OCT19 5Y NOTE 120.00 C 18,751 UNCH 118.50 P 40,097 +40,094
SEP19 2Y NOTE 107.50 C 9,802 -136 107.00 P 30,862 +100
OCT19 2Y NOTE 107.75 C 2,618 +133 107.50 P 5,631 +10
AUG19 EURODLR 98.25 C 646,868 +1,802 97.87 P 248,329 +3,934
SEP19 EURODLR 98.25 C 642,507 -49,550 97.50 P 548,131 +262
SEP20 1Y-MIDC 98.12 C 139,910 UNCH 98.25 P 198,498 +118,053
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 52,167 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
SEP19 10Y NOTE 127.00 C 47,187 -391 127.00 P 78,024 -3,203
SEP19 10Y NOTE 127.50 C 42,347 -471 127.50 P 50,106 +495
OCT19 10Y NOTE 127.50 C 4,536 +48 127.50 P 13,581 +3,625
OCT19 10Y NOTE 128.00 C 24,472 +3 128.00 P 16,091 +7,463
SEP19 5Y NOTE 117.50 C 22,144 -239 117.50 P 93,948 +3,511
SEP19 5Y NOTE 117.75 C 34,337 -1,203 117.75 P 51,626 +4,227
OCT19 5Y NOTE 117.75 C 7,247 +6,949 117.75 P 882 +201
OCT19 5Y NOTE 118.00 C 8,029 -15 118.00 P 18,743 +10,722
SEP19 2Y NOTE 107.25 C 5,738 -1 107.25 P 9,728 +840
SEP19 2Y NOTE 107.38 C 9,829 -1 107.38 P 8,711 -638
OCT19 2Y NOTE 107.38 C 162 UNCH 107.38 P 669 +167
OCT19 2Y NOTE 107.50 C 400 UNCH 107.50 P 5,631 +10
AUG19 EURODLR 97.87 C 238,164 -70,126 97.87 P 248,329 +3,934
AUG19 EURODLR 98.00 C 258,157 -41,051 98.00 P 71,759 +1,850
SEP19 EURODLR 97.87 C 499,661 -579 97.87 P 245,797 -937
SEP19 EURODLR 98.00 C 408,998 +834 98.00 P 62,466 +25
SEP20 1Y-MIDC 98.25 C 89,183 -750 98.25 P 198,498 +118,053
SEP20 1Y-MIDC 98.37 C 87,430 -1,296 98.37 P 84,218 +34,731
SEP21 2Y-MIDC 98.25 C 41,783 UNCH 98.25 P 21,291 -2,000
SEP21 2Y-MIDC 98.37 C 55,407 UNCH 98.37 P 19,316 UNCH
SEP22 3Y-MIDC 98.25 C 73,890 UNCH 98.25 P 16,551 -125
SEP22 3Y-MIDC 98.37 C 6,975 UNCH 98.37 P 1,150 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
SEP19 10Y NOTE PUT/CALL RATIO -- 0.55 (180,006 PUTS VS. 323,666 CALLS)
OCT19 10Y NOTE PUT/CALL RATIO -- 1.42 (74,857 PUTS VS. 52,545 CALLS)
SEP19 5Y NOTE PUT/CALL RATIO -- 2.14 (122,041 PUTS VS. 57,871 CALLS)
OCT19 5Y NOTE PUT/CALL RATIO -- 4.35 (87,612 PUTS VS. 20,948 CALLS)
OCT19 2Y NOTE PUT/CALL RATIO -- 0.87 (9,220 PUTS VS. 10,501 CALLS)
SEP19 2Y NOTE PUT/CALL RATIO -- 1.08 (2,673 PUTS VS. 2,445 CALLS)
AUG19 EURODLRS PUT/CALL RATIO -- 0.06 (45,089 PUTS VS. 669,350 CALLS)
SEP19 EURODLRS PUT/CALL RATIO -- 0.24 (77,533 PUTS VS. 315,544 CALLS)
JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 5.83 (356,675 PUTS VS. 61,524 CALLS)
JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 1.15 (14,878 PUTS VS. 12,890 CALLS)
JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (125 PUTS VS. 0 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
Mon Open 75.48 67.52 72.48 67.43 64.29 66.06
Fri 1500 73.80 63.80 69.72 64.29 63.05 65.22
Fri Open 72.43 62.87 67.89 62.57 63.38 65.58
Thu 1500 69.51 60.12 66.35 59.92 61.76 63.96
Thu Open 64.11 57.25 62.98 57.99 61.47 63.81
Mon 1500 65.54 58.54 63.14 58.45 61.65 63.96
Mon Open 67.21 59.81 64.45 59.21 62.14 64.68
--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.