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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 7
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USU USV TYU TYV FVU FVV EDQ EDU
FRI 3:00 7.15% 7.30% 3.32% 3.66% 1.93% 2.08% N/A 14.25%
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 173,965 -2,245 111.00 P 165,472 UNCH
OCT17 10Y NOTE 127.50 C 31,793 -366 124.50 P 26,280 +1,089
SEP17 5Y NOTE 118.25 C 37,883 +995 109.25 P 252,442 UNCH
OCT17 5Y NOTE 118.50 C 10,751 +440 117.00 P 16,536 -1,000
AUG17 EURODLR 98.62 C 99,858 UNCH 98.50 P 144,360 UNCH
SEP17 EURODLR 98.75 C 342,913 +10,250 98.37 P 750,865 UNCH
SEP18 1Y-MIDC 98.50 C 137,085 -1,517 98.12 P 273,252 -285
SEP19 2Y-MIDC 98.75 C 133,187 UNCH 97.12 P 192,279 UNCH
SEP20 3Y-MIDC 97.62 C 43,556 +438 97.50 P 48,807 +20
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
SEP17 10Y NOTE 125.50 C 57,307 -66 125.50 P 71,796 +11,410
SEP17 10Y NOTE 126.00 C 71,038 +2,244 126.00 P 52,058 +216
OCT17 10Y NOTE 125.50 C 14,292 +170 125.50 P 12,582 +1,856
OCT17 10Y NOTE 126.00 C 10,510 +42 126.00 P 7,772 +377
SEP17 5Y NOTE 117.75 C 5,970 UNCH 117.75 P 17,599 +1,738
SEP17 5Y NOTE 118.00 C 20,425 +40 118.00 P 25,194 +2,779
OCT17 5Y NOTE 117.75 C 3,480 +337 117.75 P 6,735 +109
OCT17 5Y NOTE 118.00 C 2,007 +225 118.00 P 1,417 +225
AUG17 EURODLR 98.62 C 99,858 UNCH 98.62 P 95,865 UNCH
AUG17 EURODLR 98.75 C 58,105 -11,551 98.75 P 3,484 UNCH
SEP17 EURODLR 98.62 C 252,350 UNCH 98.62 P 236,967 +596
SEP17 EURODLR 98.75 C 342,913 +10,250 98.75 P 107,287 UNCH
SEP18 1Y-MIDC 98.37 C 122,741 -57 98.37 P 77,237 UNCH
SEP18 1Y-MIDC 98.50 C 137,085 -1,517 98.50 P 14,670 UNCH
SEP19 2Y-MIDC 98.00 C 65,921 UNCH 98.00 P 97,426 +4,125
SEP19 2Y-MIDC 98.12 C 120,240 +812 98.12 P 67,224 +5,377
SEP20 3Y-MIDC 97.75 C 27,133 UNCH 97.75 P 33,485 +3,574
SEP20 3Y-MIDC 97.87 C 26,540 +749 97.87 P 28,603 +1,518
PUT/CALL RATIO FOR VOLUME CLEARED:
SEP17 10Y NOTE PUT/CALL RATIO -- 0.80 (143,660 PUTS VS. 178,885 CALLS)
OCT17 10Y NOTE PUT/CALL RATIO -- 2.26 (34,585 PUTS VS. 15,349 CALLS)
SEP17 5Y NOTE PUT/CALL RATIO -- 1.20 (31,135 PUTS VS. 25,945 CALLS)
OCT17 5Y NOTE PUT/CALL RATIO -- 3.23 (6,894 PUTS VS. 2,118 CALLS)
AUG17 EURODLRS PUT/CALL RATIO -- 0.00 (0 PUTS VS. 22,250 CALLS)
SEP17 EURODLRS PUT/CALL RATIO -- 1.01 (23,447 PUTS VS. 23,250 CALLS)
SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 1.63 (8,000 PUTS VS. 4,912 CALLS)
SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 2.78 (29,175 PUTS VS. 10,475 CALLS)
SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 2.01 (4,400 PUTS VS. 2,189 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
Fri 3:00 38.90 54.13 54.76 59.94 73.36 78.86
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
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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.