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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
WED 1500 10.42% 10.55% 5.61% 5.35% 3.72% 3.55% 31.85% 29.20%
1345 10.71% 10.69% 5.69% 5.48% 3.83% 3.64% 32.80% 29.85%
1230 10.92% 9.95% 5.71% 5.58% 3.83% 3.63% 33.20% 29.35%
0915 10.90% 9.92% 5.75% 5.48% 3.85% 3.65% 30.12% 27.59%
WED OPEN 10.44% 9.55% 5.60% 5.05% 3.70% 3.55% 30.40% 27.39%
TUE 1500 8.97% 8.77% 4.90% 4.81% 3.38% 3.29% 28.22% 26.49%
TUE OPEN 9.42% 8.79% 5.29% 4.92% 3.58% 3.33% 31.60% 27.25%
MON 1500 9.76% 8.29% 5.35% 5.08% 3.58% 3.39% 30.60% 27.85%
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%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
SEP19 10Y NOTE 129.00 C 137,805 +1,836 126.50 P 178,579 +3,409
OCT19 10Y NOTE 131.00 C 38,102 +4,098 128.00 P 46,936 +4,757
SEP19 5Y NOTE 118.00 C 49,559 +3 114.75 P 125,029 -10
OCT19 5Y NOTE 120.00 C 18,939 +156 118.50 P 40,975 +273
SEP19 2Y NOTE 108.25 C 9,476 UNCH 107.00 P 31,451 +589
OCT19 2Y NOTE 107.75 C 2,618 UNCH 107.50 P 5,631 UNCH
AUG19 EURODLR 98.25 C 627,969 -334 97.87 P 248,983 +2,000
SEP19 EURODLR 98.25 C 500,035 -42,286 97.50 P 547,731 -400
SEP20 1Y-MIDC 98.12 C 139,910 UNCH 98.25 P 216,197 +7,086
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 129.00 C 137,805 +1,836 129.00 P 30,824 +13,192
SEP19 10Y NOTE 129.50 C 55,974 -6,824 129.50 P 19,345 +13,592
OCT19 10Y NOTE 129.50 C 8,358 -3 129.50 P 5,383 +2,002
OCT19 10Y NOTE 130.00 C 24,431 -504 130.00 P 8,788 -1,941
SEP19 5Y NOTE 118.75 C 14,965 +72 118.75 P 4,609 +2,732
SEP19 5Y NOTE 119.00 C 44,854 +273 119.00 P 1,583 +261
OCT19 5Y NOTE 119.00 C 6,484 -36 119.00 P 1,412 +500
OCT19 5Y NOTE 119.25 C 2,623 +180 119.25 P 1,902 +178
SEP19 2Y NOTE 107.62 C 5,200 UNCH 107.62 P 934 -42
SEP19 2Y NOTE 107.75 C 6,861 +22 107.75 P 408 +48
OCT19 2Y NOTE 107.75 C 2,618 UNCH 107.75 P 286 UNCH
OCT19 2Y NOTE 107.88 C 52 UNCH 107.88 P 7 +7
AUG19 EURODLR 98.00 C 148,763 -17,966 98.00 P 70,534 -1,050
AUG19 EURODLR 98.12 C 224,327 -8,859 98.12 P 17,300 UNCH
SEP19 EURODLR 98.00 C 401,511 -280 98.00 P 152,097 +3,624
SEP19 EURODLR 98.12 C 393,361 +5,937 98.12 P 11,004 UNCH
SEP20 1Y-MIDC 98.50 C 98,079 -4,410 98.50 P 54,231 -9,324
SEP20 1Y-MIDC 98.62 C 93,293 +450 98.62 P 11,482 -1,230
SEP21 2Y-MIDC 98.62 C 30,063 -18,981 98.62 P 12,266 +11,766
SEP21 2Y-MIDC 98.75 C 42,210 +27,685 98.75 P 775 +525
SEP22 3Y-MIDC 98.50 C 47,927 UNCH 98.50 P 6,842 +25
SEP22 3Y-MIDC 98.62 C 2,699 +400 98.62 P 850 +550
PUT/CALL RATIO FOR VOLUME CLEARED:
SEP19 10Y NOTE PUT/CALL RATIO -- 0.83 (230,591 PUTS VS. 276,946 CALLS)
OCT19 10Y NOTE PUT/CALL RATIO -- 0.48 (43,397 PUTS VS. 88,812 CALLS)
SEP19 5Y NOTE PUT/CALL RATIO -- 1.56 (25,594 PUTS VS. 16,618 CALLS)
OCT19 5Y NOTE PUT/CALL RATIO -- 1.66 (34,991 PUTS VS. 21,708 CALLS)
OCT19 2Y NOTE PUT/CALL RATIO -- 0.68 (1,549 PUTS VS. 2,206 CALLS)
SEP19 2Y NOTE PUT/CALL RATIO -- 0.97 (494 PUTS VS. 565 CALLS)
AUG19 EURODLRS PUT/CALL RATIO -- 0.14 (21,954 PUTS VS. 146,876 CALLS)
SEP19 EURODLRS PUT/CALL RATIO -- 1.92 (175,233 PUTS VS. 91,410 CALLS)
JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.75 (50,594 PUTS VS. 66,025 CALLS)
JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.61 (35,250 PUTS VS. 57,750 CALLS)
JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.75 (825 PUTS VS. 1,100 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
Wed 1500 84.80 81.52 82.31 75.90 67.40 69.12
1345 87.32 83.22 85.02 77.55 67.82 69.40
1230 88.20 83.32 83.15 77.61 67.80 69.42
0915 87.05 80.43 82.14 75.14 66.74 68.85
Wed Open 86.91 78.77 80.25 73.61 66.25 68.30
Tue 1500 82.57 73.52 77.18 70.31 65.56 67.60
Tue Open 88.93 76.78 81.51 74.11 66.66 68.81
Mon 1500 90.39 77.41 82.38 74.36 66.78 68.74
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
--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.