Free Trial

US 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
THU OPEN   9.71%  9.02%   5.24%  5.13%   3.50%  3.40%   32.10%  28.75%
WED 1500   10.42% 10.55%  5.61%  5.35%   3.72%  3.55%   31.85%  29.20%
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  134,076   -3,726   126.50 P  178,287     -292
OCT19 10Y NOTE  131.00 C   40,609   +2,507   128.00 P   46,619     -317
SEP19 5Y NOTE   118.00 C   49,357     -201   114.75 P  125,029     UNCH
OCT19 5Y NOTE   121.00 C   20,558  +14,482   118.50 P   51,314  +10,339
SEP19 2Y NOTE   108.25 C    9,475     UNCH   107.00 P   31,451     UNCH
OCT19 2Y NOTE   107.75 C    2,618     UNCH   107.50 P   14,313   +8,682
AUG19 EURODLR    98.25 C  369,112 -258,857    97.87 P  238,560  -10,423
SEP19 EURODLR    97.87 C  488,751   -8,250    97.50 P  547,731     UNCH
SEP20 1Y-MIDC    98.12 C  139,910     UNCH    98.25 P  220,748   +4,500
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   54,667   +2,500
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE
SEP19 10Y NOTE  129.00 C  134,076   -3,726   129.00 P   44,117  +13,293
SEP19 10Y NOTE  129.50 C   52,249   -3,725   129.50 P   38,207  +18,862
OCT19 10Y NOTE  129.50 C    8,202     -156   129.50 P    7,586   +2,203
OCT19 10Y NOTE  130.00 C   24,906     +475   130.00 P   17,684   +8,896
SEP19 5Y NOTE   118.75 C   14,043     -922   118.75 P    6,837   +2,228
SEP19 5Y NOTE   119.00 C   45,081     +227   119.00 P    3,721   +2,138
OCT19 5Y NOTE   119.00 C    6,498      +14   119.00 P    4,830   +3,418
OCT19 5Y NOTE   119.25 C    2,874     +251   119.25 P    9,937   +8,035
SEP19 2Y NOTE   107.62 C    5,126      -74   107.62 P      926       -8
SEP19 2Y NOTE   107.75 C    6,712     -146   107.75 P      367      -41
OCT19 2Y NOTE   107.75 C    2,618     UNCH   107.75 P    3,217   +2,913
OCT19 2Y NOTE   107.88 C       52     UNCH   107.88 P      709     +702
AUG19 EURODLR    98.00 C  138,512  -10,251    98.00 P   70,661     +127
AUG19 EURODLR    98.12 C  214,837   -9,490    98.12 P   17,500     +200
SEP19 EURODLR    98.00 C  398,619   -2,890    98.00 P  139,165  -12,932
SEP19 EURODLR    98.12 C  369,179  -24,182    98.12 P   11,540     +536
SEP20 1Y-MIDC    98.50 C   97,172     -907    98.50 P   61,943   +7,712
SEP20 1Y-MIDC    98.62 C   92,997     -296    98.62 P   11,957     +475
SEP21 2Y-MIDC    98.62 C   28,563   -1,500    98.62 P   16,691   +4,425
SEP21 2Y-MIDC    98.75 C   43,610   +1,400    98.75 P    2,660   +1,885
SEP22 3Y-MIDC    98.50 C   47,927     UNCH    98.50 P    8,692   +1,850
SEP22 3Y-MIDC    98.62 C    2,599     -100    98.62 P      850     UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
SEP19 10Y NOTE PUT/CALL RATIO   -- 0.59 (171,413 PUTS VS. 289,102 CALLS)
OCT19 10Y NOTE PUT/CALL RATIO   -- 0.73 (86,536 PUTS VS. 117,360 CALLS)
SEP19 5Y NOTE PUT/CALL RATIO    -- 0.85 (34,863 PUTS VS. 40,220 CALLS)
OCT19 5Y NOTE PUT/CALL RATIO    -- 0.76 (36,806 PUTS VS. 47,424 CALLS)
OCT19 2Y NOTE PUT/CALL RATIO    -- 2.64 (7,454 PUTS VS. 2,873 CALLS)
SEP19 2Y NOTE PUT/CALL RATIO    -- 39.1 (35,366 PUTS VS. 903 CALLS)
AUG19 EURODLRS PUT/CALL RATIO   -- 0.00 (23,542 PUTS VS. 477,124 CALLS)
SEP19 EURODLRS PUT/CALL RATIO   -- 0.25 (101,275 PUTS VS. 401,924 CALLS)
JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.32 (41,275 PUTS VS. 30,980 CALLS)
JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 3.86 (13,900 PUTS VS. 3,600 CALLS)
JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.68 (8,327 PUTS VS. 12,270 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
Thu Open    84.44    78.71    81.47    75.75    66.50     68.96
Wed 1500    84.80    81.52    82.31    75.90    67.40     69.12
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$]

To read the full story

Close

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.