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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 8
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USU USV TYU TYV FVU FVV EDQ EDU
11:15 7.57% 7.48% 3.62% 3.83% 2.03% 2.29% N/A 13.86%
9:30 7.45% 7.47% 3.55% 3.79% 2.01% 2.28% N/A 14.27%
TUE OPEN 7.34% 7.46% 3.48% 3.73% 1.97% 2.28% N/A 14.27%
MON 3:00 7.39% 7.44% 3.51% 3.70% 1.89% 2.18% N/A 13.90%
MON OPEN 7.51% 7.41% 3.68% 3.71% 1.99% 2.22% N/A 12.28%
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%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
SEP17 10Y NOTE 127.00 C 173,300 -665 111.00 P 165,472 UNCH
OCT17 10Y NOTE 127.50 C 31,645 -148 124.50 P 31,989 +5,709
SEP17 5Y NOTE 118.25 C 37,871 -12 109.25 P 252,442 UNCH
OCT17 5Y NOTE 118.50 C 10,751 UNCH 117.00 P 16,660 +124
AUG17 EURODLR 98.62 C 99,858 UNCH 98.50 P 144,360 UNCH
SEP17 EURODLR 98.75 C 342,913 UNCH 98.37 P 750,865 UNCH
SEP18 1Y-MIDC 98.50 C 137,385 +300 98.12 P 273,252 UNCH
SEP19 2Y-MIDC 98.75 C 133,187 UNCH 97.12 P 192,279 UNCH
SEP20 3Y-MIDC 97.62 C 43,731 +175 97.50 P 48,807 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
SEP17 10Y NOTE 125.50 C 56,225 -1,082 125.50 P 72,520 +536
SEP17 10Y NOTE 126.00 C 70,705 -333 126.00 P 50,876 -1,182
OCT17 10Y NOTE 125.50 C 14,541 +249 125.50 P 12,608 +26
OCT17 10Y NOTE 126.00 C 11,338 +828 126.00 P 8,231 +459
SEP17 5Y NOTE 117.75 C 5,970 UNCH 117.75 P 17,661 +62
SEP17 5Y NOTE 118.00 C 20,425 UNCH 118.00 P 25,382 +188
OCT17 5Y NOTE 117.75 C 3,480 UNCH 117.75 P 6,685 -50
OCT17 5Y NOTE 118.00 C 2,132 +125 118.00 P 1,542 +125
AUG17 EURODLR 98.62 C 99,858 UNCH 98.62 P 95,865 UNCH
AUG17 EURODLR 98.75 C 58,105 UNCH 98.75 P 3,484 UNCH
SEP17 EURODLR 98.62 C 252,350 UNCH 98.62 P 236,967 UNCH
SEP17 EURODLR 98.75 C 342,913 UNCH 98.75 P 107,287 UNCH
SEP18 1Y-MIDC 98.37 C 120,741 -2,000 98.37 P 76,987 -250
SEP18 1Y-MIDC 98.50 C 137,385 +300 98.50 P 14,670 UNCH
SEP19 2Y-MIDC 98.00 C 65,921 UNCH 98.00 P 91,601 -5,825
SEP19 2Y-MIDC 98.12 C 121,790 +1,550 98.12 P 69,274 +2,050
SEP20 3Y-MIDC 97.75 C 27,133 UNCH 97.75 P 33,485 UNCH
SEP20 3Y-MIDC 97.87 C 25,669 -871 97.87 P 26,287 -2,316
PUT/CALL RATIO FOR VOLUME CLEARED:
SEP17 10Y NOTE PUT/CALL RATIO -- 2.02 (56,475 PUTS VS. 27,994 CALLS)
OCT17 10Y NOTE PUT/CALL RATIO -- 1.65 (30,226 PUTS VS. 18,321 CALLS)
SEP17 5Y NOTE PUT/CALL RATIO -- 1.46 (3,860 PUTS VS. 2,647 CALLS)
OCT17 5Y NOTE PUT/CALL RATIO -- 1.21 (2,361 PUTS VS. 1,992 CALLS)
AUG17 EURODLRS PUT/CALL RATIO -- 0.00 (0 PUTS VS. 0 CALLS)
SEP17 EURODLRS PUT/CALL RATIO -- 0.00 (0 PUTS VS. 0 CALLS)
SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 4.63 (10,250 PUTS VS. 2,250 CALLS)
SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 2.52 (21,500 PUTS VS. 8,500 CALLS)
SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 1.60 (3,250 PUTS VS. 2,000 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
11:15 39.22 55.91 55.56 60.45 73.57 78.98
9:30 39.17 55.83 55.37 60.31 73.44 78.96
Tue Open 39.12 55.79 55.18 60.12 73.38 78.95
Mon 3:00 39.00 54.85 54.87 59.96 73.38 78.91
Mon Open 39.00 54.24 54.85 59.91 73.41 78.92
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
--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.